Valuation Quantitative Analyst – London, UK

We are a new centrally-cleared trading venue for digital asset derivatives, authorised and regulated by the UK Financial Conduct Authority.

We are seeking a Valuation Quantitative Analyst to join our growing team.

You will be part of a dynamic and experienced team bringing the features of traditional derivative markets to the rapidly expanding cryptocurrency arena. GFO-X will be a leader in the new era of regulated trading venues that trade 24/7.

The successful candidate will be joining the Quantitative Strategy team in our London office and report to our Senior Quantitative Strategist based in Hong Kong.

Tasks and Responsibilities
• Oversee and contribute to the orderly end of day and intraday valuation of our instruments for our central clearing counterparty
o Monitor the quantitative computations leading to the results, and challenge the market input to the model.
o If necessary, provide manual adjustments to the valuation process in an auditable and reproducible way.
• Continuously refine the model through team-work research and development
o Analyse our own and external market data to extract the knowledge needed to refine pricing of liquid instruments
o Improve our interpolation routines to maintain a smooth and correct volatility surface
• Monitor the recording of market data from other exchanges and the computation of indices
• Contribute to research papers based on our market data and crypto-derivatives in general for internal and external stakeholders

Skills and Background
• 2 or 3 years of working experience in a futures and options valuation role
• Graduate degree with finance and quantitative subject
• Excellent communication skills to handle the smooth cooperation with IT teams, management, risk, compliance, the clearing counterparty and potentially the regulator
• Strong understanding of futures and options pricing, knowledge of curve fitting techniques and modelling, knowledge of VAR, expected shortfall and SPAN risk models

Ability to code in python or another scripting language and use it for data analysis and statistics
• Other quantitative skills (machine learning, low level programming languages, blockchain development) are a plus.
• Ability to work under pressure with strict time constraints on an asset class that trades 24/7, and to adapt to a rapidly evolving environment
• Passion for joining a vibrant crypto-related company with teams split over several continents
This role is to be based in our London office. GFO-X is an equal opportunities employer committed to diversity and inclusion. Competitive benefits included.


Author: GFO-X