Hybrid Front-Office Quant, Equity Derivatives Pricing in C++

Citi; Greater London; Hybrid; GBP 120,000 - 180,000; Full time

Benefits offered by this job

Hybrid working arrangement

Job summary

Citi is seeking a Quantitative Analyst to join its Equity Quantitative Derivative team within Markets Quantitative Analysis. You will merge advanced derivatives modelling with large-scale C++ development to build production-grade analytics libraries used by traders and structurers.

The role involves pricing models (Monte Carlo, PDEs), real-time analytics, and collaboration with traders, structurers, and technology teams in a hybrid, front-office setting.

Qualifications

• Experience in a quantitative modelling/analytics role in financial services.
• Expert-level C++ development for production-grade libraries.
• Deep knowledge of equity derivatives pricing and products.

Responsibilities

• Design, build, and enhance a production-grade pricing library for equity derivatives.
• Implement and maintain derivative pricing models (Monte Carlo, PDEs).
• Develop analytics libraries for real-time pricing and risk management.
• Optimise core C++ code for performance and stability.
• Support payoff scripting frameworks for diverse equity derivative structures.
• Establish best practices for model testing, validation, governance.

Skills

C++ development

Derivatives pricing

Numerical methods

Communication

Education

Advanced degree in Quantitative Finance/Math/Physics

Tools

Payoff scripting frameworks

Monte Carlo

PDE solvers

Job description

Citi is seeking a Quantitative Analyst to join its Equity Quantitative Derivative team within Markets Quantitative Analysis. You will merge advanced derivatives modelling with large-scale C++ development to build production-grade analytics libraries used by traders and structurers.

The role involves pricing models (Monte Carlo, PDEs), real-time analytics, and collaboration with traders, structurers, and technology teams in a hybrid, front-office setting.