Build automated market making capacities for credit products such as corporate bonds for Citi.
Requirements
- Python, kdb+/Q, C .Net, SQL and C++
- Exposure to Market Data
- Statistics and Probability based calculations
- Using probability theory to evaluate the risks of complex financial instruments, solve analytical equations and design numerical schemes to analyze complex contracts
- Software design and principles
- hardware acceleration, advanced calculus, C++ including STL, C, .NET, Java, object oriented software design, kdb, Structured Query Language (SQL), mathematical finance/ programming and statistics and probability
- numerical techniques for valuation including Monte Carlo Methods and partial differential equation solvers
Responsibilities
- Develop analytics libraries used for automated market making, pricing and risk-management
- Create, implement, and support quantitative models for the trading business leveraging a wide variety of mathematical and computer science methods and tools including hardware acceleration, advanced calculus, C++ including STL, C, .NET, Java, object oriented software design, Python, kdb, Structured Query Language (SQL), mathematical finance/ programming and statistics and probability
- Develop pricing models using numerical techniques for valuation including Monte Carlo Methods and partial differential equation solvers
- Build automated market making capacities for credit products such as corporate bonds.
- Develop and enhance mathematical models to automatically price and trade Spread Product securities.
- Analyze financial time series data and other data source to extract valuable information for corporate bond market.
- Build rigorous risk-management framework.
Other
- 5-8 years of experience in a comparable quantitative modeling or analytics role, ideally in the financial sector
- Must also possess any level of product knowledge, Investments and Quantitative Methods
- Consistently demonstrates clear and concise written and verbal communication skills
- Master’s Degree, PhD preferred, in Mathematics, Machine Learning, Computer Science, Physics, Operations Research, Mathematical Finance or related quantitative field.
- Work closely with various functions, such as Business, Technology, Risk, and Compliance to ensure an efficient and safe automated market making system.
