Citi Group Quantitative Analyst 

United States, New York, New York 

16414014

Requirements: Master’s degree, or foreign equivalent, in Finance, Mathematics, Statistics, Machine Learning, or a related field, and four (4) years of experience in the job offered, or in a quantitative or finance occupation developing models and providing quantitative analysis for the financial services industry. Four (4) years of experience must include: Developing volatility models and pricing models for hedging and risk of equity derivatives using advanced calculus and differential equations; Coding in Python and C++ to develop and deliver quantitative applications for equity derivatives and perform computerized analysis and testing of quantitative data; Working with trading and risk to provide modeling solutions for equity derivatives products including European options, American options, Vol Index Futures and Variance Swap, modeling fair values on these equity derivatives as well as modeling various greeks for risk management purpose; Using statistics and data science methods, including optimization algorithms and machine learning, to provide volatility analytics solutions for flow equity derivatives; and Analyze and interpret implied volatility data to establish relationships and trends between volatility data, market volume, liquidity, macro events, and to prepare market volatility data for further processing. 40 hrs./wk. Applicants submit resumes at . Please reference Job ID# 25827600. EO Employer.

Wage Range: $200,000.00 to $250,000.00

Anticipated Posting Close Date:

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