Senior Front Office Quantitative Analyst (must have Monte-Carlo and FX or Equity Derivatives)
atGSR
Jan 12
Founded in 2013, GSR is a fast-growing programmatic trading company in the exciting world of cryptocurrencies. We are one of the first established players in a nascent space, and have developed a leading market position.
We specialize in providing liquidity, risk management strategies and structured products to sophisticated global investors in the digital assets industry. Our leadership team of veteran finance and technology executives from Goldman Sachs, Two Sigma, Citadel, IBM and Oracle, among others, has created one of the world’s fastest, most robust, and transparent digital asset trading systems.Â
GSR works with cryptocurrency projects, traders, investors, miners, and more than 30 cryptocurrency exchanges around the world. As a founding member of The Association for Digital Asset Markets (ADAM), GSR is also a leader in establishing and maintaining industry standards and protocols to support the healthy development and evolution of the global digital assets industry.
About us:Founded in 2013, GSR is a crypto market maker with more than 300 employees in 5 countries. We provide billions of dollars of liquidity to cryptocurrency protocols and exchanges on a daily basis. We build long-term relationships with cryptocurrency communities and traditional investors by offering exceptional service, expertise and trading capabilities tailored to their specific needs.GSR works with token issuers, traders, investors, miners, and more than 60 cryptocurrency exchanges around the world. In volatile markets we are a trusted partner to crypto native builders and to those exploring the industry for the first time. Our team of veteran finance and technology executives from Goldman Sachs, Two Sigma, Citadel, and Tower Research among others, has developed one of the world’s fastest and most robust trading platforms designed to navigate issues unique to the digital asset markets. We have continuously improved our technology throughout our history, allowing for our clients to scale and execute their strategies with the highest level of efficiency.Working at GSR is an opportunity to be deeply embedded in every major sector of the cryptocurrency ecosystem. GSR is looking for an experienced Front Office Quantitative Analyst with strong derivatives knowledge to join our busy and dynamic team on a full-time basis. This role has been created due to expansion of the business. You will help to deliver a fast, reliable and best-in-class production analytics code base for our global trading franchise. This person will report to the Head of Quantitative Analytics in Trading, and work during UK or European business hours.
As part of the team, your responsibilities will be to:
- Reviewing and analysing derivative models for price.
- Develop and maintain the quantitative analytics library used for our in-house pricing and risk management system.
- Support the trading desks to maximise revenue targets by delivering analytics across our business lines.
- Work on pricing framework, model validation, internal model changes and contribute to regulatory requirements.
- Maintain the analytics library to support trades both on and off the run.
Your profile:
- Strong background in using numerical methods including Monte-Carlo, Stochastic Calculus for vanilla & exotic derivative valuations.
- Familiarity with all major derivative products past and present in equity, rates, fx or commodity markets.
- Solid understanding of volatility products and vol surface modelling.
- Strong programming in C++ 17/20, Python.
- Excellent analytical, communication and presentation skills.
- PhD or DEA educated in a quantitative field (Physics, Maths, Financial Engineering).
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