About the role
Angel Lane Partners is a financial advisory and data engineering firm headquartered in Dubai, with offices in London, Pune and Riyadh. We work with banks and financial institutions across the GCC on risk, treasury, analytics and technology. We are hiring an FX quant to work on client engagements covering FX pricing, derivatives, hedging and analytics. The role is based on site in Abu Dhabi and works directly with client FX, treasury and risk teams. What you will do
• Build, calibrate and validate pricing models for FX spot, forwards, swaps, NDFs, vanilla options and structured products.
• Develop analytics for FX desks, such as client pricing, spread and margin analysis, execution behaviour, and flow analysis.
• Build volatility models and forecasts, including vol surface construction and time-series models of realised and implied volatility.
• Support the structuring of hedging solutions for corporate and institutional clients, and analyse their risk, cost and hedge effectiveness.
• Design hedging strategies and assess hedge performance for client treasury and trading books.
• Write production-grade model code and work with our data engineering team to deploy models into client systems.
• Set up model monitoring, recalibration and performance testing.
• Write methodology and model documentation that passes bank model risk and regulatory review.
• Present findings to traders, treasurers and senior management in plain terms, including the limits of each result. Requirements Experience
• At least 2 years relevant experience, in a quantitative role focused on FX. Relevant settings include a bank trading desk, FX e-pricing, structuring, treasury, model validation, or quant consulting to banks.
• Direct experience pricing FX spots, forwards, swaps and options in a live workplace. FX and derivatives
• FX market mechanics: forward points, covered interest parity, FX swaps, NDFs,



quoting conventions, and pegged currencies, including GCC currencies pegged to the USD.
• Options: Garman–Kohlhagen, Greeks, delta conventions (spot/forward, premium-adjusted), and vol surface construction from ATM, risk reversal and butterfly quotes. You should also know about smile models such as SABR and Vanna-Volga.
• Structured products sold to corporates: barriers, digitals, collars, participating forwards, seagulls and TARFs. You should understand their pricing, risk and hedging.
• Hedging: delta and vega hedging, corporate hedging programmes and hedge effectiveness. Working knowledge of IFRS 9 hedge accounting is a plus. Mathematics and statistics
• Stochastic calculus: Brownian motion, Itô's lemma, risk-neutral pricing, the Black–Scholes PDE, and local and stochastic volatility models.
• Numerical methods: Monte Carlo with variance reduction, finite differences, calibration and optimisation.
• Time series: ARIMA, GARCH-family models, regression with lagged variables, model selection and forecast intervals.
• Statistical modelling: linear and logistic regression, hypothesis testing and experimental design.
• Machine learning methods such as PCA, clustering and supervised models are a plus. Coding
• Strong Python (NumPy, pandas, SciPy, statsmodels, scikit-learn), written so that others can review, test and deploy it.
• SQL for large volumes of trade and market data.
• Git, and experience taking a model from prototype to production.
• C++, kdb+/q or experience with real-time pricing systems is a plus. Education
• Degree in mathematics, statistics, physics, financial engineering, computer science or a related field. A Master's or PhD is preferred but not necessary.
• CFA, FRM or CQF is a plus. Terms
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Location:
Bengaluru, with GCC travel as and when required.
• Employment type: Full time Please apply only if you meet the requirements above suit you.

📌 FX Quantitative Analyst (Bengaluru)
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