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About the Role

Part of Markets Quantitative Analysis, the Equity Quantitative Derivative Team is responsible for the research, development, and maintenance of quantitative models for pricing and risk management, supporting Citi's Equity Derivative franchise. This team is seeking a high-calibre Quantitative Analyst to contribute to model research and to the design and development of a production-grade equity derivatives library. This is a front-office role combining advanced derivatives modelling with C++ development at scale.

Responsibilities

Develop analytics libraries used for pricing and risk management
Design, build, and enhance a pricing library for derivative products and ensure robust model integration
Implement and maintain derivative pricing models (e.g. stochastic/local volatility, stochastic correlation, jump), using numerical techniques for valuation including Monte Carlo methods and partial differential equation solvers
Optimise the core codebase to ensure performance, stability, and engineering excellence
Develop and support product payoff scripting frameworks for flexible trade representation
Establish best practices for testing, validation, and model governance
Collaborate closely with Traders, Structurers, and technology professionals
Work in close partnership with control functions such as Legal, Compliance, Market and Credit Risk, Audit, Finance in order to ensure appropriate governance and control infrastructure
Build a culture of responsible finance, good governance and supervision, expense discipline and ethics
Appropriately assess risk/reward of transactions when making business decisions; and ensure that all team members understand the need to do the same, demonstrating proper consideration for the firm’s reputation
Be familiar with and adhere to Citi’s Code of Conduct and the Plan of Supervision for Global Markets and Securities Services; and ensure that all team members understand the need to do the same
Adhere to all policies and procedures as defined by your role which will be communicated to you
Obtain and maintain all registrations/licenses which are required for your role, within the appropriate timeframe
Appropriately assess risk when business decisions are made, demonstrating particular consideration for the firm's reputation and safeguarding Citigroup, its clients and assets, by driving compliance with applicable laws, rules and regulations, adhering to Policy, applying sound ethical judgment regarding personal behaviour, conduct and business practices, and escalating, managing and reporting control issues with transparency

Requirements

Demonstrated years of experience in a comparable quantitative modelling or analytics role, preferably in the financial sector
Expert-level C++ development, including contribution to large-scale library design and development
Experience with scripting languages and/or implementation of payoff scripting frameworks
Expert-level experience in derivatives pricing and product knowledge, ideally in equity exotics
Deep knowledge of numerical methods, particularly Monte Carlo simulation and PDE solvers
Advanced degree in Quantitative Finance, Mathematics, Physics, or related field
Excellent communication and collaboration skills
Consistently demonstrates clear and concise written and verbal communication skills

Skills

Quantitative modelling
Analytics
Financial sector experience
C++ development
Large-scale library design and development
Scripting languages
Payoff scripting frameworks
Derivatives pricing
Equity exotics
Numerical methods
Monte Carlo simulation
PDE solvers
Communication skills
Collaboration skills

Location

London

Work Type

Hybrid working model (up to 2 days working at home per week)
Full time
Flexible working hours

Experience Level

Senior

Education Level

Advanced degree in Quantitative Finance, Mathematics, Physics, or related field

Salary/Compensations

Competitive base salary (which is annually reviewed)
Discretional annual performance related bonus

Benefits

Generous holiday allowance starting at 27 days plus bank holidays; increasing with tenure
Private medical insurance packages to suit your personal circumstances
Employee Assistance Programme
Pension Plan
Paid Parental Leave
Special discounts for employees, family, and friends
Access to an array of learning and development resources

About the Company

Citi is a global financial institution whose mission is to serve as a trusted partner to our clients by responsibly providing financial services that enable growth and economic progress.
Work in a challenging area of the financial industry with one of the world's leading companies with exposure to variety of products, processes and controls.
Cooperation with a high quality, international, multicultural and global team.
Work in a friendly and diversified environment, appreciating differences in style and perspective and using them to add value to decisions leading to organizational success.
Management supporting balanced and agile work (flexible working hours, home office).
A chance to make a difference with various affinity networks and charity initiatives.

Equal Opportunity

Citi is an equal opportunity employer, and qualified candidates will receive consideration without regard to their race, color, religion, sex, sexual orientation, gender identity, national origin, disability, status as a protected veteran, or any other characteristic protected by law.
If you are a person with a disability and need a reasonable accommodation to use our search tools and/or apply for a career opportunity review Accessibility at Citi.
View Citi’s EEO Policy Statement and the Know Your Rights poster.