Hybrid: Equity Derivatives Quant (C++ Pricing)

Citigroup Inc.

United States

Hybrid

USD 180,000 - 280,000

Full time

6 days ago

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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.