Citigroup Global Markets Inc. is looking to hire a Quantitative Analyst to develop and maintain software libraries for financial asset pricing and risk management, conduct quantitative analysis for equity derivatives trading, and design quantitative applications for volatility risk and hedging.
Requirements
- C++ and Python programming languages
- Quantitative libraries development, unit testing, and documentation
- Financial mathematics
- Volatility risk and hedging model development and production issue handling including bug fixing
- Statistics and probability theories
- Statistical and machine learning modelling for market data analysis
- Volatility surface fitting algorithms and optimization
Responsibilities
- Develop libraries for financial assets pricing and risk management using C++ and Python programming languages.
- Create, extend and maintain quantitative software library documentation, and provide user training.
- Develop new unit tests that improve stability of the software libraries when extending their functionality.
- Conduct regression testing to make sure that the new changes in the libraries are coherently incorporated in the existing software infrastructure and do not cause discontinuities in the business process.
- Develop dashboards and other reporting tools for regulatory and internal use.
- Perform independent quantitative analysis in volatility modeling and hedging, for equity derivatives institutional trading business.
- Utilize traditional and novel data science methods for trading data analysis, including optimization methods and machine learning approaches.
Other
- Requires a Master’s degree, or foreign equivalent, in Finance, Business Administration, Mathematics, Engineering (any), or related field
- 3 years of experience as a Quantitative Analyst, Auditor, Financial Risk Specialist, or related position involving financial analytics model development for a global financial services institution.
- Knowledge of Flow and Volatility Equity Derivatives and their modeling approaches.
- A telecommuting/hybrid work schedule may be permitted within a commutable distance from the worksite, in accordance with Citi policies and protocols.
