FX Options Quantitative Developer (Assistant Vice President)

Citi; Greater London; Hybrid; GBP 70,000 - 90,000; Full time

Benefits offered by this job

Generous holiday allowance

Discretionary annual performance-related bonus

Private medical insurance

Pension Plan

Paid Parental Leave

Employee discounts

Learning and development resources

Job summary

Citi is seeking a skilled developer in London who will play a key role in building and maintaining analytics libraries for FX Options products. The successful candidate will implement quantitative pricing models using C++ and Python in a hybrid work environment.

The role demands expertise in statistics, market data structures, and strong communication skills. Citi offers a competitive salary, generous holiday allowances, and a commitment to diversity and inclusion within the workplace.

Qualifications

• Proven software engineering expertise in C++ and Python.
• Strong knowledge of statistics and risk assessment.
• Ability to implement numerical techniques relevant to finance.

Responsibilities

• Build and maintain analytics libraries for FX Options products.
• Design quantitative pricing models using numerical techniques.
• Develop software applying object-oriented principles.

Skills

C++

Python

Statistics and probability theory

Quantitative methods

Analytical equations for financial modelling

Market data structures

Clear communication

Education

Bachelor's degree in mathematics/computer science/physics/engineering

Job description

Overview

By Joining Citi, you will become part of a global organisation whose mission is to serve as a trusted partner to our clients by responsibly providing financial services that enable growth and economic progress.

Responsibilities

• Build and maintain analytics libraries that support real-time pricing and risk management for FX Options products.
• Design and implement quantitative pricing models using numerical techniques including Monte Carlo methods and partial differential equation solvers.
• Develop production software using C++ and Python, applying object-oriented design principles and performance optimisation techniques including hardware acceleration.
• Work closely with traders and structurers to translate business requirements into reliable, scalable quantitative systems.
• Collaborate with technology teams to integrate models into trading infrastructure.
• Partner with risk, compliance, legal, and finance teams to ensure quantitative systems meet governance and control standards.
• Apply sound risk awareness when contributing to business decisions, ensuring that model outputs and system behaviour align with the firm's risk and conduct standards.

Qualifications

• Demonstrated software engineering ability in C++ and Python with practical experience.
• Knowledge of statistics, probability theory, and their application to the evaluation and risk assessment of complex financial instruments.
• Ability to design and implement numerical schemes and solve analytical equations relevant to financial modelling.
• Familiarity with market data structures and how they are used in pricing and risk calculations.
• Understanding of quantitative methods and investment products at any level of depth, with a willingness to develop further in a trading environment.
• Clear and concise written and verbal communication skills, with the ability to explain technical concepts to non-technical partners.
• A bachelor\'s degree or equivalent experience in a relevant discipline such as mathematics, computer science, physics, or engineering.

Beneficial Skills & Qualifications

• Exposure to FX Options or other derivatives products, including an understanding of how they are structured and traded.
• Experience working in a financial services environment alongside trading desks or quantitative research teams.
• Practical exposure to hardware acceleration techniques for performance-critical quantitative applications.

What We Offer

We work hard to have a positive financial and social impact on the communities we serve. In turn, we put our employees first and provide the best-in-class benefits they need to be well, live well and save well.

By joining Citi London, you will not only be part of a business casual workplace with a hybrid working model (up to 2 days working at home per week), but also receive a competitive base salary (which is annually reviewed), and enjoy a whole host of additional benefits such as:

• Generous holiday allowance starting at 27 days plus bank holidays; increasing with tenure
• A discretionary annual performance related bonus
• Private medical insurance packages to suit your personal circumstances
• Employee Assistance Program
• Pension Plan
• Paid Parental Leave
• Special discounts for employees, family, and friends
• Access to an array of learning and development resources

Alongside these benefits Citi is committed to ensuring our workplace is where everyone feels comfortable coming to work as their whole self every day. We want the best talent around the world to be energized to join us, motivated to stay, and empowered to thrive.

Citi is an equal opportunity employer, and qualified candidates will receive consideration without regard to their race, color, religion, sex, sexual orientation, gender identity, national origin, disability, status as a protected veteran, or any other characteristic protected by law.

If you are a person with a disability and need a reasonable accommodation to use our search tools and/or apply for a career opportunity review Accessibility at Citi.

View Citi’s EEO Policy Statement and the Know Your Rights poster.