Front Office Equity Derivatives Quant (C++ Pricing Models), VP

Citigroup Inc.; Greater London; Hybrid; GBP 120,000 - 190,000; Full time

Job summary

Citigroup Inc. is seeking a Front Office Equity Derivatives Quant (C++ Pricing Models) in London. You will design and maintain a production-grade pricing library, implement advanced derivative models, and develop analytics for real-time pricing and risk management.

The role combines quantitative modelling with large-scale C++ development in a hybrid office setting. You will work closely with traders, structurers, and technology teams, applying Monte Carlo and PDE techniques to equity

Qualifications

• Advanced degree in a quantitative discipline (Quant Finance/Math/Physics).
• Strong experience in derivatives pricing and numerical methods (Monte Carlo, PDE).
• Excellent communication and ability to collaborate with traders, structurers, and tech teams.

Responsibilities

• Design, build, and enhance a production-grade pricing library for equity derivatives.
• Implement and maintain derivative pricing models (stochastic/local volatility, jumps).
• Develop analytics libraries for real-time pricing and risk management.
• Optimize C++ codebases for performance and stability.
• Collaborate with traders, structurers, and technology teams to translate needs into solutions.

Skills

Derivatives pricing

Quantitative modelling

Numerical methods

Communication

Cross-functional collaboration

Education

Advanced degree in Quantitative Finance/Math/Physics

Tools

C++

PDE solvers

Monte Carlo

Job description

## Front Office Equity Derivatives Quant (C++ Pricing Models), VPApply: Hybrid: London United Kingdom: Full time: Posted Today: End Date: October 4, 2026 (15 days left to apply): 26995166Citi is looking for a Quantitative Analyst to join its Equity Quantitative Derivative team within Markets Quantitative Analysis — a front-office group responsible for the research, development, and maintenance of pricing and risk models that underpin Citi's global Equity Derivatives franchise. In this role, you will combine advanced derivatives modelling with large-scale C++ development, building production-grade analytics libraries used directly by traders and structurers. This is a high-impact position where your quantitative expertise shapes the performance and reliability of Citi's equity derivatives platform.**Responsibilities*** Design, build, and enhance a production-grade pricing library for equity derivative products, ensuring robust model integration and engineering excellence.* Implement and maintain derivative pricing models — including stochastic and local volatility, stochastic correlation, and jump processes — using numerical methods such as Monte Carlo simulation and PDE solvers.* Develop analytics libraries that support real-time pricing and risk management across Citi's equity derivatives business.* Optimise core C++ codebases for performance and stability, maintaining engineering standards across large-scale library development.* Build and support payoff scripting frameworks that enable flexible and accurate trade representation across a range of equity derivative structures.* Establish and uphold best practices for model testing, validation, and governance, working alongside model risk and control functions.* Collaborate directly with traders, structurers, and technology teams to translate business needs into quantitative solutions.**Required Qualifications & Skills*** Demonstrable experience in a quantitative modelling or analytics role within the financial services industry.* Expert-level C++ development skills, including hands-on contribution to the design and build of large-scale, production-quality libraries.* Expert-level knowledge of derivatives pricing and products, with particular depth in equity derivatives.* Deep expertise in numerical methods for financial modelling, specifically Monte Carlo simulation and partial differential equation solvers.* Advanced degree in Quantitative Finance, Mathematics, Physics, or a closely related quantitative discipline.* Clear and concise communication skills, with the ability to engage effectively across quantitative, trading, and technology teams.**Beneficial Skills & Qualifications*** Experience with scripting languages used in a quantitative or analytics context within financial markets.* Practical experience designing or implementing payoff scripting frameworks for derivative trade representation.* Familiarity with equity exotic products and the modelling challenges specific to structured equity derivatives.**What We Offer**Joining Citi's Equity Quantitative Derivative team means working at the intersection of cutting-edge financial modelling and large-scale software engineering, within a global markets business that operates at the forefront of the industry. You will be embedded in a front-office environment where your work has direct commercial impact, and where collaboration with experienced traders, structurers, and technologists is part of daily life.* A front-office quantitative role with direct influence on Citi's global equity derivatives pricing and risk infrastructure.* Hybrid working arrangement — 3 days in the office and 2 days working remotely — providing flexibility alongside strong team connection.* Access to complex, real-world modelling problems across the full spectrum of equity derivative products and structures.* Exposure to a broad network of quantitative, trading, and technology professionals across Citi's global markets business.* Continuous professional development through hands-on work with advanced numerical methods, modern C++ practices, and evolving market products.* Competitive financial reward and benefits aligned to a senior, high-impact individual contributor role within a global financial institution.Apply now to bring your quantitative modelling expertise to a team where your work directly drives the performance of Citi's equity derivatives business.