Front Office Equity Derivatives Quant (C++ Pricing Models), VP

Citigroup Inc.; United States; Hybrid; USD 180,000 - 280,000; Full time

Job summary

Citigroup Inc. is seeking a Quantitative Analyst to join the Equity Quantitative Derivative team within Markets Quantitative Analysis.

The role blends advanced derivatives modelling with large-scale C++ development to build production-grade analytics used by traders and structurers. You will design pricing libraries, implement models (stochastic, local volatility, jump processes), and develop real-time analytics while collaborating across quantitative, trading, and technology teams.

Qualifications

• Expert-level C++ development experience in large-scale libraries.
• Deep knowledge of equity derivatives pricing.
• Experience with Monte Carlo and PDE solvers.
• Front-office collaboration with traders and technology teams.

Responsibilities

• Design, build, and enhance a production-grade pricing library for equity derivatives.
• Implement derivative pricing models including stochastic/local vol, jumps.
• Develop analytics libraries for real-time pricing and risk management.
• Optimize core C++ codebases for performance and stability.
• Build payoff scripting frameworks for flexible trade representation.
• Establish model testing, validation, and governance with control functions.
• Collaborate with traders, structurers, and technology teams to translate needs.

Skills

C++ development

Derivatives pricing

Monte Carlo methods

PDE solvers

Numerical methods

Quantitative analysis

Communication skills

Scripting languages

Education

Advanced degree in Quantitative Finance/Math/Physics

Job description

Citi is looking for a Quantitative Analyst to join its Equity Quantitative Derivative team within Markets Quantitative Analysis - a front-office group responsible for the research, development, and maintenance of pricing and risk models that underpin Citi's global Equity Derivatives franchise. In this role, you will combine advanced derivatives modelling with large-scale C++ development, building production-grade analytics libraries used directly by traders and structurers. This is a high-impact position where your quantitative expertise shapes the performance and reliability of Citi's equity derivatives platform.,

• 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.
  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., Experience with scripting languages used in a quantitative or analytics context within financial markets.
• Practical experience designing or implementing payoff scripting frameworks for derivative trade representation.
• Familiarity with equity exotic products and the modelling challenges specific to structured equity derivatives.
  Working at Citi is far more than just a job. A career with us means joining a team of approximately 219,000 dedicated people from around the globe. At Citi, you'll have the opportunity to grow your career, give back to your community and make a real impact.,
• Joining Citi's Equity Quantitative Derivative team means working at the intersection of cutting-edge financial modelling and large-scale software engineering, within a global markets business that operates at the forefront of the industry. You will be embedded in a front-office environment where your work has direct commercial impact, and where collaboration with experienced traders, structurers, and technologists is part of daily life.
• A front-office quantitative role with direct influence on Citi's global equity derivatives pricing and risk infrastructure.
• Hybrid working arrangement - 3 days in the office and 2 days working remotely - providing flexibility alongside strong team connection.
• Access to complex, real-world modelling problems across the full spectrum of equity derivative products and structures.
• Exposure to a broad network of quantitative, trading, and technology professionals across Citi's global markets business.
• Continuous professional development through hands-on work with advanced numerical methods, modern C++ practices, and evolving market products.
• Competitive financial reward and benefits aligned to a senior, high-impact individual contributor role within a global financial institution.