Quant jobs / Millennium

Quantitative Researcher – FX

A quant role in Millennium's Fixed Income & Commodities Technology group, working on the in-house cross-asset pricing and risk library. This post covers FX analytics for traders and portfolio managers.

What you’d work on

Our reading of the posting: what a new hire in this role would most likely spend their first months on.

Develop and maintain FX models in the cross-asset pricing library
Add or improve exotic FX models such as local stochastic volatility
Deliver pre-trade, pricing and risk tools for FX traders
Support traders with P&L and risk explain questions
Collaborate with quants in London, Geneva and New York

What they ask for

Required

FX market conventions and derivatives
Monte Carlo, finite differences or finite elements
Strong mathematics
Problem solving
Modern C++ (preferred)

Preferred

FX exotics
Local stochastic volatility and local correlation models

Education: No degree level stated
Experience: 2+ years in FX market modelling conventions and derivatives; exotics preferred
Languages and tools: C++
Markets: fx, fixed-income, commodities, credit

How to prepare

Learn FX quoting conventions: delta, risk reversals and butterflies
Build an FX smile from market quotes and price a barrier option
Implement a local volatility model and calibrate it to a surface
Practise Monte Carlo and PDE solvers in C++

What to study

The Derivatives Pricing Quant roadmap sets out the stages for this kind of role, with free resources for each.

Open the roadmap

Apply

Read the full posting on Millennium’s site before applying: requirements, location and pay can change after we check them.

View the posting on Millennium’s site ↗

SelfMadeQuant wrote this summary from the employer’s public posting, last checked 6 November 2026. SelfMadeQuant isn’t affiliated with Millennium and doesn’t handle applications.