Citi Group Quantitative Analyst 

United States, New York, New York 

708461234

Duties: Develop analytics libraries used for pricing and risk-management of Equity derivatives for the SES (Structured Equities Solutions) business. Create, implement, and support quantitative models for the SES trading business using C++ and Python and mathematical modelling. Work in close partnership with control functions such as Market and Credit Risk and Model Risk in order to ensure appropriate governance and control of models used by SES as well as other Equity derivative desks. Supports trading with day-to-day quantitative requests and questions on Equity derivatives products. Script complex new contractual features. Model risk management for SES products: writing of model documents, onboarding of models to Ongoing Performance Assessment platform, working with model validators to achieve approval of new models and new features for existing models. A telecommuting/hybrid work schedule may be permitted within a commutable distance from the worksite, in accordance with Citi policies and protocols.

Requirements: Requires a Bachelor’s degree (3 or 4 year), or foreign equivalent, in Mathematics, Physics or related quantitative field and 3 years of experience as a Quantitative Analyst, Quantitative Developer, Quantitative Risk Analyst or related position involving research and development of mathematical pricing and risk models. 3 years of experience must include: Equity market products; Calculus, numerical mathematics, linear algebra, probability theory, statistics, stochastic processes, Markov processes, Martingales; SQL, Git, Jira, Excel; Python; At least 2 years of experience must include: Brownian motion, ordinary and partial differential equations, Ito calculus; No-arbitrage pricing theory; Analytic, Tree, and Partial differential equation and Monte Carlo methods; C++. Applicants submit resumes at https://jobs.citi.com/. Please reference Job ID #24781623. EO Employer.

Wage Range: $160,000 to $175,000

Anticipated Posting Close Date:

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