FX Options Quantitative Developer (Assistant Vice President)

Citi is looking for a Quantitative Developer to join the FX options quantitative development team, building and maintaining the pricing and risk infrastructure that powers the FX Options trading desk. In this role, you will sit at the intersection of software engineering and quantitative finance, translating complex mathematical models into robust, production-grade systems used by traders and structurers daily. This is an opportunity to make a direct and measurable impact on how FX Options are priced, risk-managed, and delivered at global scale.

What you’ll do:

• 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.

What we’ll need from you:

• 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 discretional 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.