Senior Quantitative Analyst – Exotic Derivative Pricing

Citibank (Switzerland) AG; New York (NY); Hybrid; Confidential; Full time

Job summary

Citigroup Global Markets Inc. in New York is seeking a Model/Analysis/Valid Sr Analyst to develop and validate pricing models for exotic interest rate derivatives, working with traders, structurers and technology teams.

You will train junior analysts and contribute to governance, risk management, and model validation efforts. The role emphasizes C++, Python, and quantitative methods, with a hybrid telecommuting option within a commutable distance from the New York site.

Qualifications

• Master’s degree in Quantitative & Computational Finance, Financial Engineering or related field.
• 3 years of experience in derivative pricing model development and risk management support in a global financial services institution.
• Experience with derivative pricing models using C++, probability and stochastic processes including measure theory; exotic derivatives; Monte Carlo methods and PDE solvers.

Responsibilities

• Provide training to junior quantitative analysts on model methods and techniques.
• Collaborate with Traders, Structurers, and technology professionals.
• Create, implement and support quantitative models for the trading business using Python, C++, and other tools.
• Apply probability and stochastic methods to develop pricing models for risk management and daily P&L control.
• Coordinate with risk and control functions to test and document model performance and governance.

Skills

C++

C#

.NET

Python

SQL

Quantitative finance

Monte Carlo

PDE solvers

Stochastic calculus

Education

Master's degree in Quantitative & Computational Finance

Tools

C++

C#

.NET

Python

SQL

Job description

Citigroup Global Markets Inc. in New York is seeking a Model/Analysis/Valid Sr Analyst to develop and validate pricing models for exotic interest rate derivatives, working with traders, structurers and technology teams.

You will train junior analysts and contribute to governance, risk management, and model validation efforts. The role emphasizes C++, Python, and quantitative methods, with a hybrid telecommuting option within a commutable distance from the New York site.