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Citi Group Vice President Trader 
United States, New York, New York 
524986906

26.07.2024

Requirements: Bachelor’s degree, or foreign equivalent, in Mathematical Finance, Computational Finance, Financial Engineering, or a related field, and three (3) years of experience in the job offered, or in a related occupation in the financial services industry. Three (3) years of experience must include: Handling pricing derivatives trades including price options on Multi-asset vol target index using Black-Scholes, Monte Carlo Local Volatility and Monte Carlo Local Volatility Jump models; Calibrating model jump parameters and improving pricing models by running regression analysis; Managing risk positions including hedging on option Greeks & rates DV01/Gamma by executing stocks, ETFs, futures, options, interest rate swaps and swaptions; Checking and monitoring marking parameters including borrow, dividend and volatility surface; Analyzing index strategies, discussing hedge costs and onboarding new index/strategy; and Utilizing Python & Excel VBA to build tools on pricing derivatives on Mutli-asset vol target index, monitoring live and inventory risk, and calibrating model parameters. 40 hrs./wk. Applicants submit resumes at . Please reference Job ID # 24753915. EO Employer.

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

Full timeNew York New York United States


Anticipated Posting Close Date:

Sep 04, 2024

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