The Quantitative Analyst role at Citi is designed to solve complex problems within the Equity Derivatives Pricing library, supporting the Product Quant team. The core issue is the need for advanced analytical and programming skills to develop, implement, and optimize quantitative models for pricing and risk management in the trading business. This involves creating and maintaining core libraries, advising on coding practices, and ensuring efficient execution of pricing models.
Requirements
- Must have technical/programming skills; 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
- Must also possess any level of product knowledge, Investments and Quantitative Methods
- 5-8 years of experience in a comparable quantitative modeling or analytics role, ideally in the financial sector
Responsibilities
- Develop analytics libraries used for 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
- Development of the core pricing library and architectural design of the library
- Advising product quants on c++ and python coding
- Development of the testing framework
- Optimize pricing execution to minimize memory and maximize speed
Other
- Consistently demonstrates clear and concise written and verbal communication skills
- Collaborate closely with Traders, Structurers, and technology professionals
- Work in close partnership with control functions such as Legal, Compliance, Market and Credit Risk, Audit, Finance in order to ensure appropriate governance and control infrastructure
- Build a culture of responsible finance, good governance and supervision, expense discipline and ethics
- Appropriately assess risk/reward of transactions when making business decisions; and ensure that all team members understand the need to do the same, demonstrating proper consideration for the firm’s reputation.
