Quantitative Analyst - Corporate Equity Derivatives, Vice President

Salary Not Specified

Citigroup Inc., City of Westminster

Posted 1 week ago, 10 Sep | Get your application in now before you're too late!

Closing date: Closing date not specified

job Ref: 44687a4364c44c34b0e2b59bf4ef5395

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.

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.

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.

The Markets Quantitative Analysis (MQA) group at Citigroup is looking for talented individuals to join the Corporate Equity Derivatives Quant team based in London.

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.