Front-Office Commodities Quant: Pricing & Risk Modeling

Citi; Greater London; On-site; GBP 90,000 - 150,000; Full time

Job summary

Citi is seeking a Quantitative Analyst to join the front office Commodities Quant team in London. You will develop analytics libraries and quantitative models for pricing and risk management across Oil, Power and Gas, Metals, and related products.

You will leverage C++, Python, and JavaScript/React, applying Monte Carlo and PDE techniques, and collaborate closely with Traders and IT to ensure robust governance and control frameworks.

Qualifications

• Experience in a quantitative modelling or analytics role in finance.
• Strong programming skills; exposure to market data and statistical methods.
• Advanced degree or equivalent in a quantitative field.

Responsibilities

• Develop analytics libraries for pricing and risk management.
• Create and support quantitative models for trading using advanced math and computing methods.
• Develop pricing models using numerical techniques including Monte Carlo methods and PDE solvers.
• Collaborate with Traders, Structurers, and technology professionals.
• Ensure governance and control infrastructure in partnership with risk and control functions.
• Assess risk-reward of transactions and uphold Citi's policies and ethics.

Skills

Programming

Market Data

Statistics

Probability

Software design

Education

Masters/PhD or equivalent

Tools

C++

Python

JavaScript

React

Job description

Citi is seeking a Quantitative Analyst to join the front office Commodities Quant team in London. You will develop analytics libraries and quantitative models for pricing and risk management across Oil, Power and Gas, Metals, and related products.

You will leverage C++, Python, and JavaScript/React, applying Monte Carlo and PDE techniques, and collaborate closely with Traders and IT to ensure robust governance and control frameworks.