We are looking for a Financial Engineer to join the team that builds and maintains the volatility models and exotic prices used by our clients, including front-office trading desks that rely on our solution to risk-manage their exotics books every day.
You will work on two core areas: fitting implied volatility smiles across Equity and FX and improving the accuracy and stability of our equity and FX exotics prices and their risks. You will also apply modern AI and machine learning techniques to speed up risk computation.
Your work will directly affect the prices, Greeks and risk numbers that traders and risk managers act on, so precision, robustness and clear communication matter as much as technical depth.
Responsibilities
Volatility Modelling and Smile Calibration
Build, improve and maintain analytical and semi-analytical models to fit option smile and surface data across Equity and FX.
Ensure calibrated surfaces are arbitrage-free, stable over time and robust to noisy or sparse market data.
Handle asset-class specifics: dividends and borrow for equity, delta and quote conventions for FX.
Exotics Pricing and Risk
Enhance pricing models and numerical methods (Monte Carlo, PDE, semi-analytical) for equity and FX exotics such as barriers, autocallables, cliques, basket and worst-of products.
Improve the accuracy and stability of prices and sensitivities, including smooth Greeks, convergence, handling of discontinuities and consistency between pricing and risk.
Investigate and resolve pricing and risk issues raised by traders, risk managers and clients, and explain model behavior in practical terms.
Contribute to model validation, back-testing and benchmarking.
Next-Generation Risk Analytics
Leverage advanced AI techniques (e.g. neural-network prices and calibrators, surrogate models, algorithmic differentiation, Chebyshev or regression-based approximations) to significantly accelerate Value-at-Risk (VaR) and XVA computations.
Assess the accuracy, stability and limitations of accelerated methods against reference prices, in particular for risk and hedging use.
AI-Accelerated Development
Use AI coding tools to speed up the development, testing, refactoring and documentation of pricing and calibration code, and share effective practices with the team.
Validate AI-generated code rigorously (unit tests, convergence checks, comparison against reference implementations, code review), so that faster delivery does not compromise numerical accuracy or model governance.
Research and Documentation
Produce rigorous analysis and comprehensive documentation of model methodologies, architectures and research findings to support transparency, model governance and knowledge transfer across the organization.
Large-Scale Data Analysis
Extract insights from complex, high-volume market and risk datasets to inform model development, diagnose model behavior and shape business strategy.
Model Interpretation and Client Guidance
Provide clear explanations of model behavior (including AI-based models), conduct scenario analysis and deliver actionable analytics to stakeholders such as front-office traders, risk managers, sales and technology teams.
דרישות:
Knowledge and Experience
Proven experience as a quant in derivatives pricing or modelling at a bank, hedge fund, vendor or consultancy.
Strong knowledge of option pricing theory, stochastic calculus and volatility modelling (local vol, stochastic vol, local-stochastic vol, smile dynamics).
Hands-on experience calibrating volatility surfaces and building or validating exotic option pricers in equity and/or FX.
Solid grasp of numerical methods: Monte Carlo, finite-difference/PDE, optimisation and interpolation.
Strong programming skills in Python and C++ (or a comparable compiled language), with good software engineering practices (testing, version control, code review).
Proficiency with AI coding assistants and agentic tools (e.g. Claude, Codex, Copilot המשרה מיועדת לנשים ולגברים כאחד.