At a Glance
- Tasks: Build analytics libraries and design quantitative pricing models for FX Options.
- Company: Join Citi, a global leader in financial services with a focus on growth.
- Benefits: Enjoy competitive salary, generous holiday allowance, and private medical insurance.
- Other info: Hybrid working model and commitment to diversity and inclusion.
- Why this job: Make an impact in finance while working with cutting-edge technology and talented teams.
- Qualifications: Experience in C++ and Python, with a background in mathematics or computer science.
The predicted salary is between 60000 - 80000 £ per year.
By joining Citi, you will become part of a global organisation whose mission is to serve as a trusted partner to our clients by responsibly providing financial services that enable growth and economic progress.
Responsibilities
- Build and maintain analytics libraries that support real-time pricing and risk management for FX Options products.
- Design and implement quantitative pricing models using numerical techniques including Monte Carlo methods and partial differential equation solvers.
- Develop production software using C++ and Python, applying object-oriented design principles and performance optimisation techniques including hardware acceleration.
- Work closely with traders and structurers to translate business requirements into reliable, scalable quantitative systems.
- Collaborate with technology teams to integrate models into trading infrastructure.
- Partner with risk, compliance, legal, and finance teams to ensure quantitative systems meet governance and control standards.
- Apply sound risk awareness when contributing to business decisions, ensuring that model outputs and system behaviour align with the firm's risk and conduct standards.
Qualifications
- Demonstrated software engineering ability in C++ and Python with practical experience.
- Knowledge of statistics, probability theory, and their application to the evaluation and risk assessment of complex financial instruments.
- Ability to design and implement numerical schemes and solve analytical equations relevant to financial modelling.
- Familiarity with market data structures and how they are used in pricing and risk calculations.
- Understanding of quantitative methods and investment products at any level of depth, with a willingness to develop further in a trading environment.
- Clear and concise written and verbal communication skills, with the ability to explain technical concepts to non-technical partners.
- A bachelor's degree or equivalent experience in a relevant discipline such as mathematics, computer science, physics, or engineering.
Beneficial Skills & Qualifications
- Exposure to FX Options or other derivatives products, including an understanding of how they are structured and traded.
- Experience working in a financial services environment alongside trading desks or quantitative research teams.
- Practical exposure to hardware acceleration techniques for performance-critical quantitative applications.
What We Offer
We work hard to have a positive financial and social impact on the communities we serve. In turn, we put our employees first and provide the best-in-class benefits they need to be well, live well and save well.
By joining Citi London, you will not only be part of a business casual workplace with a hybrid working model (up to 2 days working at home per week), but also receive a competitive base salary (which is annually reviewed), and enjoy a whole host of additional benefits such as:
- Generous holiday allowance starting at 27 days plus bank holidays; increasing with tenure
- A discretionary annual performance related bonus
- Private medical insurance packages to suit your personal circumstances
- Employee Assistance Program
- Pension Plan
- Paid Parental Leave
- Special discounts for employees, family, and friends
- Access to an array of learning and development resources
Alongside these benefits, Citi is committed to ensuring our workplace is where everyone feels comfortable coming to work as their whole self every day. We want the best talent around the world to be energized to join us, motivated to stay, and empowered to thrive.
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.
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.
FX Options Quantitative Developer (Assistant Vice President) in London employer: Citi
Citi London is an exceptional employer that prioritises the well-being and growth of its employees, offering a dynamic work environment with a hybrid model that promotes work-life balance. With a competitive salary, generous holiday allowance, and comprehensive benefits including private medical insurance and extensive learning resources, Citi fosters a culture of inclusivity and empowerment, ensuring that every team member can thrive while contributing to meaningful financial services that drive economic progress.
