Mr Frost-Smith began his career in London with Slaughter and May, where he was a solicitor in their corporate department specialising in derivatives and structured finance. After relocating to Hong Kong in 1992, JPMorgan recruited Mr Frost-Smith into their Equity Derivatives business where he ran the corporate equity derivative and structured solutions businesses in APAC, being appointed to Managing Director in 2000.  At JPMorgan, Mr Frost-Smith was a member of the Global Equity Derivatives Management Team, APAC Markets Committee and APAC Diversity Committee.

After returning to the UK in 2002, Mr Frost-Smith set up a multi-strategy hedge fund, Castlegrove, with former colleagues from JPMorgan. This traded equity and credit derivatives and ran relative value, special situations and arbitrage strategies. Mr Frost-Smith set up the platform and infrastructure for Castlegrove and also conducted over 250 investor meetings, taking over as CEO in 2007.

Following the acquisition of Castlegrove by Millennium Management LLC in 2008, Mr Frost-Smith joined Swiss Re as Global Head of Financial Markets Strategy with a seat on the Investment Committee and Senior Risk Committee. Mr Frost-Smith reorganized the CIO office and implemented a program of rationalization and outsourcing. 

After Swiss Re, Mr Frost-Smith joined Credit Suisse as Co-Head of the Longevity Markets Group, a fixed income division focused on sourcing, repackaging and distributing longevity risk and providing pension schemes with longevity hedges. This business was shuttered due to bank balance sheet requirements in 2011, after which Mr Frost-Smith joined Haitong as UK CEO and International Head of Markets.

Mr Frost-Smith is a frequent commentator on the Crypto Markets and a member of the Digital Assets Working Group of the Standards Board for Alternative Investments. He is a serial entrepreneur and has investments in several technology businesses. He lives in beautiful Suffolk and spends his free time with his dogs on the beach.