Citigroup

Citigroup

Quantitative Engineer – Exotic Equity Derivatives

New York New York United States · Full-time

Sponsorship not specified$109k-$164kDetected 5 days ago
PythonC++Machine LearningPandasData AnalysisFinancial ModelingResearchCommunicationProblem SolvingPublic Speaking

About the role

  • Citi also offers paid time off packages, including planned time off (vacation), unplanned time off (sick leave), and paid holidays.
  • Additionally, if you so choose, or consent, we can match your skills and abilities to other suitable roles at Citi.
  • Importantly, all our hiring processes and decisions, including determining your suitability for a role, are conducted, checked, and decided by individuals.

Responsibilities

  • Develop analytical tools for pricing and calibration: Build and automate calibration routines (e.g., model calibrations) in the Python analytics library.
  • Develop tools for the automatic pricing of broker quotes and implement contract factory components, ensuring robust and maintainable code aligned with object-oriented design principles.
  • Lead quantitative training and knowledge sharing: Prepare and deliver presentations to both the trading and quantitative teams on pricing models, analytical tools, and completed developments.
  • Design and execute numerical and statistical tests to validate model quality, and coordinate with finance and controller teams to address P&L and Model Reserve Calculation issues.
  • solid understanding of object-oriented design and software engineering best practices.
  • Evaluate and select the most appropriate pricing model for each product, leveraging stochastic models such as Local Volatility and stochastic volatility frameworks, and implement them in the team's C++ library.

Requirements

  • Master's degree in a quantitative discipline such as Financial Mathematics, Applied Mathematics, Computer Science, Physics, or Engineering.
  • Strong C++ programming skills with demonstrated experience implementing financial models in a production library environment
  • Proficiency in Python for quantitative analytics, data manipulation (e.g., Pandas), and tooling development
  • ability to write clean, testable, and well-documented code.
  • In-depth knowledge of numerical methods used in derivatives pricing, including Monte Carlo simulation and PDE solvers.
  • Experience with statistical testing and analysis
  • Strong communication skills with the ability to explain complex quantitative concepts to both technical and non-technical audiences in a fast-paced environment.
  • 2+ years of experience in a quantitative role within equity derivatives or a related area of financial services, with hands-on involvement in pricing model development or quantitative analytics.
  • Strong C++ programming skills with demonstrated experience implementing financial models in a production library environment; solid understanding of object-oriented design and software engineering best practices.
  • Proficiency in Python for quantitative analytics, data manipulation (e.g., Pandas), and tooling development; ability to write clean, testable, and well-documented code.
  • Solid understanding of stochastic calculus, probability theory, and quantitative finance concepts (e.g., risk-neutral pricing, Greeks, volatility modelling).
  • Familiarity with equity derivatives products, including exotic payoff structures, sensitivity profiles, and hedging mechanics.
  • Experience with statistical testing and analysis; ability to design and interpret model validation tests.

Nice to have

  • Exposure to model governance and validation processes, including the preparation of model documentation and adherence to internal risk policies.
  • Job Family Group:
  • Risk Management ------------------------------------------------------
  • Model Development and Analytics ------------------------------------------------------
  • Full time ------------------------------------------------------
  • New York New York United States ------------------------------------------------------
  • $109,120.00 - $163,680.00
  • Available offerings may vary by jurisdiction, job level, and date of hire.

Skills

  • Jul 24, 2026 ------------------------------------------------------
  • Automated Processing and AI
  • Our automated processing and AI do not involve relying on automatic or autonomous decision-making.
  • Please refer to any Jurisdictional Considerations, with specific provisions for your country (where relevant) for further details.
  • Illinois residents - AI Notice and Right

Compensation

  • $109,120.00 - $163,680.00
  • In addition to salary, Citi's offerings may also include, for eligible employees, discretionary and formulaic incentive and retention awards.

Benefits

  • Design and implement numerical pricing models for exotic equity derivatives, including Monte Carlo simulation engines and Partial Differential Equation (PDE) solvers.
  • Partner with the structuring and trading desks to develop new exotic equity derivative products for clients.

Equal opportunity

  • View Citi's EEO Policy Statement and the Know Your Rights poster.
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This listing is sourced directly from Citigroup's careers page and normalized into a canonical job model.