AVP Quantitative Analyst - Flow Equity Derivatives

Citi; New York (NY); Hybrid; USD 109,120 - 163,680; Full time

Benefits offered by this job

Medical benefits

401(k)

Life, disability insurance

Wellness programs

Paid time off

Job summary

Citi is seeking a Quantitative Analyst for its Markets Quantitative Analytics team in North America. You will build and deploy analytics, models, and tools across the Flow Equity Derivatives desks and work at the intersection of research and live trading.

You will develop pricing, hedging, and risk tools used in real-time decisions, collaborating with traders and technology teams. A strong foundation in quantitative methods and programming is required.

Qualifications

• Up to 3 years of experience in quantitative modelling or analytics.
• Proficiency in Python in a structured development environment.
• Programming in C++ for performance-sensitive work.
• Knowledge of financial models for options and derivatives pricing.
• Statistical and machine learning techniques for data analysis.
• Numerical methods and optimization for model calibration.
• Foundational knowledge of flow equity derivatives including options and VIX.
• Clear communication to traders, technologists and control functions.

Responsibilities

• Build real-time pricing and risk analytics libraries for flow equity derivatives.
• Develop models for volatility surface construction and option fitting.
• Design auto-quoting and robo-hedging strategies for faster execution.
• Apply ML and reinforcement learning to quantitative problems.
• Collaborate with traders and technology teams to translate requirements into production solutions.
• Adhere to software development standards across the model lifecycle.
• Coordinate with Legal, Compliance, Risk, Audit, and Finance for governance.

Skills

Python

C++

Mathematical finance

Statistics

Machine learning

Time-series analysis

Optimization

Communication

Education

Master's degree in Mathematics/Physics/Engineering/CS

Tools

Python

C++

Job description

Citi is looking for a Quantitative Analyst to join the Markets Quantitative Analytics team, building and deploying cutting-edge analytics, models, and tools for the Flow Equity Derivatives business across Index, Single Stock, and Convertible Bond desks in North America. In this role, you will work at the intersection of quantitative research and live trading, developing solutions that directly shape how Citi prices, quotes, and hedges equity derivatives in real time. If you are driven by innovation and want to see your work make an immediate impact on a high-performance trading desk, this is the opportunity for you.

Responsibilities

• Build quantitative libraries and analytics tools that support real-time pricing and risk management for flow equity derivatives products.
• Develop and maintain models for volatility surface construction, volatility event prediction, and options bid-offer and dividend fitting algorithms.
• Design and implement auto-quoting and robo-hedging strategies that improve the speed and consistency of the trading desk's execution.
• Apply machine learning techniques, including reinforcement learning, statistical modelling, and numerical optimization to solve complex quantitative problems.
• Collaborate directly with traders and technology teams to translate business requirements into robust, production-ready quantitative solutions.
• Adhere to rigorous software development standards across the full model development lifecycle, from research and validation through to deployment of approved models in production.
• Partner with Legal, Compliance, Risk, Audit, and Finance functions to ensure models meet governance and control requirements.

Required Qualifications & Skills

• Up to 3 years of experience in a quantitative modelling or analytics role, or an equivalent strong academic background in a quantitative discipline.
• Proficiency in Python, used to build and deliver quantitative models and analytics in a structured development environment.
• Programming skills in C++, applied to performance-sensitive quantitative work.
• Working knowledge of mathematical finance, including the ability to implement and interpret models for options and derivatives pricing.
• Practical ability to apply statistical and machine learning techniques to data analysis and time-series modelling problems.
• Familiarity with numerical methods and optimization, applied to model calibration or algorithm design.
• Foundational knowledge of flow equity derivatives products, including American and European options, Variance Swaps, and VIX Futures and Options.
• Clear and effective communication skills, with the ability to articulate quantitative concepts to traders, technologists, and control functions.

Beneficial Skills & Qualifications

• A Master's degree in Mathematics, Physics, Engineering, Computer Science, or a related quantitative field.
• Hands-on experience applying reinforcement learning techniques to quantitative finance or trading strategy problems.
• Familiarity with software design principles and best practices, particularly in the context of building maintainable quantitative libraries.

What We Offer

Joining Citi's Markets Quantitative Analytics team means working on problems that matter, alongside experienced practitioners on one of the most active equity derivatives businesses in North America. From day one, you will have genuine exposure to live trading activity and the opportunity to contribute to a collaborative, performance-driven environment focused on technical excellence and continuous development.

• Direct collaboration with trading professionals on the Index, Single Stock, and Convertible Bond desks, giving your work immediate real-world context and impact.
• Access to MQA Connect, a community and programme focused on professional development, knowledge sharing, and career growth within the quantitative analytics function.
• Exposure to the full model development lifecycle in a highly regulated environment, building expertise that is directly transferable across quantitative finance roles.
• Hybrid working model with 3 days in the office and 2 days working remotely, providing flexibility while maintaining strong desk-level collaboration.
• A defined path for technical and career development within a global markets organisation, with access to mentorship and cross-functional learning opportunities.
• A role that grows with you, offering increasing scope and responsibility as you develop expertise in equity derivatives quantitative analysis.

New York New York United States

$109 120,00 - $163 680,00

In addition to salary, Citi’s offerings may also include, for eligible employees, discretionary and formulaic incentive and retention awards. Citi offers competitive employee benefits, including:

• medical, dental & vision coverage
• 401(k)
• life, accident, and disability insurance
• wellness programs
• paid time off packages, including planned time off (vacation), unplanned time off (sick leave), and paid holidays.

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.

Most Relevant Skills

Analytical Thinking, Credible Challenge, Data Analysis, Governance, Policy, Procedure, and Regulation, Risk Management Lifecycle.