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Citi Group Quantitative Analyst - Corporate Equity Derivatives Vice President 
United Kingdom, England, London 
866911485

10.09.2024

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.

Institutional Trading


Time Type:

Full time

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