Fixed-Income Quant Trader & Pricing Architect

Citi; New York (NY); On-site; USD 247,500 - 302,500; Full time

Job summary

Citi in New York seeks a quantitative analyst to design and implement live pricing and trade execution algorithms for fixed‑income instruments. You will develop yield curves, back‑test models, and build predictors for pricing, volatility, and risk.

Collaboration with traders and technologists is essential, leveraging a wide range of programming languages and math tools. The role requires a master’s level background in OR/Financial Engineering or an equivalent with substantial practical

Qualifications

• Requires an advanced degree in OR/Financial Engineering or equivalent with 5 years of real‑time pricing/trading algorithm experience.
• Experience calibrating and assessing ML predictors; maintaining pricing/hedging infrastructure; and building data-science libraries.
• Proficiency in Python, kdb, SQL, mathematical finance, and Monte Carlo methods; knowledge of PDE solvers.

Responsibilities

• Build live pricing and trade execution algorithms for fixed income.
• Develop automated quantitative strategies for pricing and quoting.
• Create yield curves for pricing bonds, swaps, FRAs, and other instruments.
• Back-test, simulate, and report model performance; calibrate predictors.
• Develop pricing, hedging, and risk analytics libraries and infrastructure.
• Collaborate with traders, structurers, and tech professionals.

Skills

Python

C++

C#

Java

Mathematical finance

Statistics

Machine learning

Education

Master’s degree in Operations Research or Financial Engineering

Bachelor’s degree + 7 years relevant experience

Tools

kdb

SQL

STL (C++)

Job description

Citi in New York seeks a quantitative analyst to design and implement live pricing and trade execution algorithms for fixed‑income instruments. You will develop yield curves, back‑test models, and build predictors for pricing, volatility, and risk.

Collaboration with traders and technologists is essential, leveraging a wide range of programming languages and math tools. The role requires a master’s level background in OR/Financial Engineering or an equivalent with substantial practical