As a Quantitative Engineer within Citi’s Exotic Equity Derivatives team, you will play a central role in researching, developing, and maintaining the quantitative models and analytical tools that underpin our exotic products business. Sitting at the intersection of mathematics, technology, and finance, you will work hand-in-hand with quantitative analysts, structurers, traders, and model validation teams to deliver high-quality pricing libraries and risk infrastructure. The role spans the full quantitative lifecycle – from model research and C++ implementation to Python-based tooling, trading desk support, and model governance – and requires both strong technical depth and effective communication with business stakeholders.
Responsibilities:
Research and develop pricing models: Design and implement numerical pricing models for exotic equity derivatives, including Monte Carlo simulation engines and Partial Differential Equation (PDE) solvers. Evaluate and select the most appropriate pricing model for each product, leveraging stochastic models such as Local Volatility and stochastic volatility frameworks, and implement them in the team’s C++ library.
Collaborate with structurers and traders on new products: Partner with the structuring and trading desks to develop new exotic equity derivative products for clients. Write payoff scripts in C++ to model new product structures, perform quantitative analysis and back-testing to characterize risk profiles, and advise on the adequacy of pricing models and the identification of risks requiring provisions (e.g., stochastic volatility, stochastic interest rates, stochastic correlation).
Develop analytical tools for pricing and calibration: Build and automate calibration routines (e.g., model calibrations) in the Python analytics library. Develop tools for the automatic pricing of broker quotes and implement contract factory components, ensuring robust and maintainable code aligned with object-oriented design principles.
Provide support to the trading desk: Serve as a quantitative resource for the trading desk by investigating and resolving queries related to complex exotic equity derivative payoffs, Greeks and sensitivities, P&L attribution, hedging strategies, and booking contracts and schedules.
Lead quantitative training and knowledge sharing: Prepare and deliver presentations to both the trading and quantitative teams on pricing models, analytical tools, and completed developments. Identify new research directions and pitch potential projects to the team, fostering a culture of continuous improvement and innovation.
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Ensure model governance and performance: Produce clear technical documentation describing model specifications and risk characteristics for the model validation group, in compliance with Citi’s model governance policy. Design and execute numerical and statistical tests to validate model quality, and coordinate with finance and controller teams to address P&L and Model Reserve Calculation issues.
Skills and Qualifications:
Master’s degree in a quantitative discipline such as Financial Mathematics, Applied Mathematics, Computer Science, Physics, or Engineering.
2+ years of experience in a quantitative role within equity derivatives or a related area of financial services, with hands-on involvement in pricing model development or quantitative analytics.
Strong C++ programming skills with demonstrated experience implementing financial models in a production library environment; solid understanding of object-oriented design and software engineering best practices.
Proficiency in Python for quantitative analytics, data manipulation (e.g., Pandas), and tooling development; ability to write clean, testable, and well-documented code.
In-depth knowledge of numerical methods used in derivatives pricing, including Monte Carlo simulation and PDE solvers.
Solid understanding of stochastic calculus, probability theory, and quantitative finance concepts (e.g., risk-neutral pricing, Greeks, volatility modelling).
Familiarity with equity derivatives products, including exotic payoff structures, sensitivity profiles, and hedging mechanics.
Experience with statistical testing and analysis; ability to design and interpret model validation tests.
• Strong communication skills with the ability to explain complex quantitative concepts to both technical and non-technical audiences in a fast-paced environment.
Preferred Qualifications:
Direct experience with derivative products and their associated model requirements (e.g., local volatility, stochastic volatility, hybrid models).
Knowledge of calibration methodologies and experience building or maintaining pricing libraries.
Exposure to model governance and validation processes, including the preparation of model documentation and adherence to internal risk policies.
Experience with time series analysis, machine learning techniques, or statistical arbitrage strategies as applied to quantitative finance.
Model Development and Analytics ------------------------------------------------------
Time Type:
Full time ------------------------------------------------------
Primary Location:
New York New York United States ------------------------------------------------------
Primary Location Full Time Salary Range:
$109,120.00 - $163,680.00
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.
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.
Citi is an equal opportunity employer, and qualified candidates will receive consideration without regard to their race, color, religion, sex, sexual orientation, gender identity, national origin, disability, status as a protected veteran, or any other characteristic protected by law.
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