Model/Anlys/Valid Sr Analyst

Citi; New York (NY); On-site; USD 160,000 - 175,000; Full time

Benefits offered by this job

Medical/dental/vision insurance

401(k) plan

Life and disability insurance

Wellness programs

Paid time off

Job summary

Citi in New York seeks an experienced quantitative analyst to train junior staff and develop pricing models for exotic interest-rate derivatives. You will collaborate with traders, structurers, and technology teams to implement advanced models using C++, Python, and SQL.

The role focuses on pricing, risk management support, and governance, leveraging Monte Carlo methods, PDE solvers, and stochastic calculus. Hybrid/telecommuting within commuting distance is permitted.

Qualifications

• Master’s degree or foreign equivalent in Quantitative & Computational Finance, Financial Engineering or related field.
• 3 years of experience as a quantitative analyst or related role involving derivative pricing model development and risk management support in a global financial services institution.
• Experience must include derivative pricing model development using C++, probability and stochastics including measure theory; interest-rate modelling; exotic derivative products; Monte‑Carlo methods and PDE solvers; stochastic calculus; and Python programming.

Responsibilities

• Train junior analysts on model methods for pricing exotic interest-rate derivatives.
• Collaborate with traders, structurers, and technology professionals.
• Create, implement and support quantitative models using C++, Python, SQL.
• Develop pricing models using Monte Carlo methods and PDE solvers.
• Risk-manage the portfolio of interest rate derivatives with the trading function.
• Coordinate with risk and control functions to test and document model performance.
• Work with control functions to ensure governance and control infrastructure.
• Contribute to a culture of responsible finance, governance, expense discipline and ethics.

Skills

Python programming

C++ programming

Stochastic calculus

Probability theory

Monte Carlo methods

Education

Master’s degree in Quantitative & Computational Finance

Tools

C++

C#

.NET

Python

SQL

Job description

Responsibilities

Provide training to junior quantitative analysts on model methods and techniques used to develop, maintain and improve financial models used for pricing exotic interest rate derivatives.

Collaborate and interface with traders, structurers and technology professionals.

Create, implement and support quantitative models for the trading business leveraging mathematical and computer science methods and tools including hardware acceleration, advanced calculus, C++, C#, .NET, object‑oriented software design, Python, SQL, mathematical finance, programming, statistics and probability.

Apply knowledge of probability and stochastics to develop mathematical models for pricing interest rate derivatives suitable for daily risk management.

Work with the trading function to risk‑manage the portfolio of interest rate derivatives and respond to new client requests.

Develop pricing models using numerical techniques for valuation including Monte‑Carlo methods and partial differential equation solvers.

Work with control functions including legal, compliance, market and credit risk, audit, finance to ensure appropriate governance and control infrastructure.

Coordinate with risk and control functions to test and document performance of interest rate derivative models.

Contribute to a culture of responsible finance, good governance, expense discipline and ethics.

Qualifications

Master’s degree or foreign equivalent in Quantitative & Computational Finance, Financial Engineering or related field.

3 years of experience as a quantitative analyst or related role involving derivative pricing model development and risk management support in a global financial services institution.

Experience must include: derivative pricing model development using C++; probability and stochastics including measure theory; interest‑rate modelling; exotic derivative products; Monte‑Carlo methods and partial differential equation solvers; stochastic calculus; and Python programming.

Applicants may submit resumes at https://jobs.citi.com/. Please reference Job ID #26972170.

Wage Range

$160,000 to $175,000 per annum.

Location

New York, New York, United States (hybrid/telecommuting permitted within commutable distance).

Benefits

Citi offers competitive employee benefits including medical, dental & vision coverage; 401(k); life, accident and disability insurance; and wellness programs. Additional benefits include paid time off packages—planned time off (vacation), unplanned time off (sick leave), and paid holidays.

Equal Opportunity Statement

Citi is an equal‑opportunity employer. Qualified candidates will receive consideration without regard to race, color, religion, sex, sexual orientation, gender identity, national origin, disability, protected veteran status 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 or apply for an opportunity, review the Accessibility at Citi resources. View the EEO Policy Statement and Know Your Rights poster.