Front Office Quant: Equity Derivatives Pricing in C++

Citibank (Switzerland) AG; Greater London; Hybrid; Confidential; Full time

Benefits offered by this job

Hybrid work schedule

Competitive remuneration

Job summary

Citibank (Switzerland) AG's Equity Quantitative Derivative team seeks a Quantitative Analyst to design and maintain production-grade pricing libraries for equity derivatives, combining advanced modelling with large-scale C++ development in a front-office setting.

You will collaborate with traders, structurers and technologists, implement models including Monte Carlo and PDEs, optimise performance, and support real-time pricing and risk analytics in Citi's global equities framework.

Qualifications

• 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.

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.

Skills

Quantitative modelling

C++ development

Derivatives pricing

Numerical methods

Communication

Education

Advanced degree in Quantitative Finance or related field

Job description

Citibank (Switzerland) AG's Equity Quantitative Derivative team seeks a Quantitative Analyst to design and maintain production-grade pricing libraries for equity derivatives, combining advanced modelling with large-scale C++ development in a front-office setting.

You will collaborate with traders, structurers and technologists, implement models including Monte Carlo and PDEs, optimise performance, and support real-time pricing and risk analytics in Citi's global equities framework.