Citigroup Global Markets Inc. seeks a Model/Analysis/Valid Sr Analyst for its New York, New York location.
Duties: Provide training to junior quantitative analysts on model methods and techniques used to develop, maintain and improve financial models used for the pricing of 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 the pricing of interest rate derivatives which are suitable for daily risk management. Work with 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. A telecommuting/hybrid work schedule may be permitted within a commutable distance from the worksite, in accordance with Citi policies and protocols.
Requirements: Requires a Master’s degree or foreign equivalent in Quantitative & Computational Finance, Financial Engineering or related field and 3 years of experience as a Quantitative Analyst or related position involving derivative pricing model development and risk management support in a global financial services institution. 3 years of experience must include: Derivative pricing models 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 submit resumes at https://jobs.citi.com/. Please reference Job ID #26972170. EO Employer.
Full time ------------------------------------------------------
Primary Location:
New York New York United States ------------------------------------------------------
Primary Location Full Time Salary Range:
In addition to salary, Citi’s offerings may also include, for eligible employees, discretionary and formulaic incentive and retention awards. Citi offers competitive employee benefits, including: medical, dental & vision coverage; 401(k); life, accident, and disability insurance; and wellness programs. Citi also offers paid time off packages, including planned time off (vacation), unplanned time off (sick leave), and paid holidays. For additional information regarding Citi employee benefits, please visit citibenefits.com. Available offerings may vary by jurisdiction, job level, and date of hire.
Please see the requirements listed above. ------------------------------------------------------
Other Relevant Skills
For complementary skills, please see above and/or contact the recruiter. ------------------------------------------------------
Anticipated Posting Close Date:
Aug 28, 2026 ------------------------------------------------------
Automated Processing and AI
We use automated processing, including artificial intelligence, for our legitimate business interests (or our reasonable and appropriate business purposes) to identify and align the candidate's skills and abilities with a specific job opening. Additionally, if you so choose, or consent, we can match your skills and abilities to other suitable roles at Citi.
Importantly, all our hiring processes and decisions, including determining your suitability for a role, are conducted, checked, and decided by individuals. Our automated processing and AI do not involve relying on automatic or autonomous decision-making. Please refer to any Jurisdictional Considerations, with specific provisions for your country (where relevant) for further details.
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