Citigroup Global Markets Inc. seeks a Quantitative Analyst for its New York, New York location.
Duties: Develop pricing models for the equity derivatives business. Build quantitative models for the trading desk to price and manage risk for complex derivative products using numerical techniques for valuation including Monte Carlo Methods and partial differential equation solvers. Develop tools to calibrate model parameters to live and historical market data. Write payoff scripts to model new products for clients and perform quantitative analysis to help the business understand the risk of these products. Write and maintain model document and performance tests that demonstrate the validity of the models according to model control policies. Perform coding tasks in order to programmatically implement and test models. Work closely alongside a team of traders, quantitative analysts, and technologists, and leverage knowledge of stochastic calculus and mathematical finance, statistical analysis, risk management, and numerical programming.
Requirements: Requires a Master degree in Applied Mathematics, Engineering or related quantitative field and 4 years of experience as a Quantitative Analytic Consultant or related position involving Quantitative Analysis for financial derivative products. Alternatively, employer will accept a PhD degree in the stated fields and 2 years of the specified experience. Full term of work experience must include: C++; Python; Numerical Analysis and Computation; Stochastic Calculus; and Mathematical Finance. Qualified applicants submit resumes referencing job code SB/QA/XX at https://jobs.citi.com/ or to Citigroup Recruiting Dept., 3800 Citigroup Center Drive, Tampa, FL 33610. Citigroup is an EOE Employer. This position is eligible for incentives pursuant to Citigroups Employee Referral Program. Direct applicants only. Proof of full vaccination against COVID-19 required prior to commencing employment.
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**Job Family Group:**
Institutional Trading
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**Job Family:**
Quantitative Analysis
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**Time Type:**
Full time
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Citi is an equal opportunity and affirmative action employer.
Qualified applicants will receive consideration without regard to their race, color, religion, sex, sexual orientation, gender identity, national origin, disability, or status as a protected veteran.
Citigroup Inc. and its subsidiaries ("Citi) invite all qualified interested applicants to apply for career opportunities. If you are a person with a disability and need a reasonable accommodation to use our search tools and/or apply for a career opportunity review **Accessibility at Citi (https://www.citigroup.com/citi/accessibility/application-accessibility.htm)** .
View the "EEO is the Law (https://www.dol.gov/sites/dolgov/files/ofccp/regs/compliance/posters/pdf/eeopost.pdf) " poster. View the EEO is the Law Supplement (https://www.dol.gov/sites/dolgov/files/ofccp/regs/compliance/posters/pdf/OFCCP\_EEO\_Supplement\_Final\_JRF\_QA\_508c.pdf) .
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Effective November 1, 2021, Citi requires that all successful applicants for positions located in the United States or Puerto Rico be fully vaccinated against COVID-19 as a condition of employment and provide proof of such vaccination prior to commencement of employment.
Citi is an equal opportunity and affirmative action employer.
Minority/Female/Veteran/Individuals with Disabilities/Sexual Orientation/Gender Identity.
