Citi Group Quantitative Analyst - Corporate Equity Derivatives Vice President 

United Kingdom, England, London 

866911485

Responsibilities

• Provide daily support to the Corporate Equity Derivatives trading desks, primarily in London, but also in other regions. This includes assisting with pricing new structures, explaining P&L, analyzing model behavior, and enhancing the existing framework to meet new business needs.
• Develop new quantitative pricing models and numerical methods, or improve existing ones, in C++. Adhere to internal high coding standards and deliver solutions to the production library in a timely manner, following the release process and testing requirements.
• Create Python tools for the business, such as "what if" scenarios, P&L explanations, and risk representations.
• Collaborate with Quant Developers on library design, implementing scalable, efficient, and high-performance solutions.
• Prepare model documentation and collaborate with the Model Validation Group to address requirements and questions as part of the validation process.

Qualifications and Skills

• Experience in Corporate Equity Derivatives (e.g., Buy-backs pricing and risk management, Margin Loans, Dividend/Borrow cost protection) is preferred. Alternatively, experience in Equity exotic modeling and PDE pricing is also acceptable.
• Strong quantitative skills, including Stochastic Calculus, Numerical Methods (Monte Carlo, PDE), Statistics, and academic pricing models.
• Proficiency in C++ and Python programming.
• PhD or Master's degree in quantitative finance or a mathematical discipline.
• Team player with the curiosity and ability to quickly adapt to and learn internal systems and production libraries.
• Meticulous in development, testing, and release processes in a production environment, as well as in writing model documentations for new and existing models.
• Strong communication skills are essential for daily interactions within the team and with other internal teams (e.g., Trading, Sales, Technology, Model Validation).
• Comfortable working on projects with strict deadlines and delivering results on time.

By joining Citi London, you will not only be part of a business casual workplace with a hybrid working model (up to 2 days working at home per week), but also receive a competitive base salary (which is annually reviewed), and enjoy a whole host of additional benefits such as:

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

Sounds like Citi has everything you need? Then apply to discover the true extent of your capabilities.

This job description provides a high-level overview of the types of work performed. Other job-related duties may be assigned as required.

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