Citigroup Global Markets Inc. is looking to develop, maintain, and improve financial models for the pricing of exotic interest rate derivatives, and to create, implement, and support quantitative models for the trading business.
Requirements
- Derivative pricing models development using C++
- Probability and stochastics including Measure Theory
- Interest rate modelling
- Exotic derivative products
- Monte Carlo Methods and partial differential equation solvers
- Stochastic calculus
- Python programming
Responsibilities
- Develop, maintain and improve the financial models used for the pricing of exotic interest rate derivatives for trading desks and risk management globally.
- Create, implement and support quantitative models for the trading business leveraging a variety of mathematical and computer science methods and tools including hardware acceleration, advanced calculus, C++, C, .NET, object-oriented software design, Python, SQL, mathematical finance, programming, statistics and probability.
- Apply knowledge of probability and stochastics to develop mathematical models for the pricing of interest rate derivatives which are suitable for daily risk management.
- Develop pricing models using numerical techniques for valuation including Monte Carlo Methods and partial differential equation solvers.
- Work with trading function to risk manage the portfolio of interest rate derivatives and respond to new client requests.
- Coordinate with risk and control functions to test and document performance of interest rate derivative models.
Other
- Collaborate with Traders, Structurers, and technology professionals.
- Work with control functions including Legal, Compliance, Market and Credit Risk, Audit, Finance to ensure appropriate governance and control infrastructure.
- Contribute to a culture of responsible finance, good governance, expense discipline and ethics.
- A telecommuting/hybrid work schedule may be permitted within a commutable distance from the worksite, in accordance with Citi policies and protocols.
- Requires a Master’s degree or foreign equivalent in Quantitative & Computational Finance, Financial Engineering or related field and 1 year of experience as a Quantitative Analyst or related position involving derivative pricing model development and risk management support in a global financial services institution.
