At a Glance
- Tasks: Develop cutting-edge pricing models and analytics for equity derivatives in a dynamic front-office role.
- Company: Join Citi's innovative Equity Quantitative Derivative team, where collaboration is key.
- Benefits: Enjoy hybrid working, competitive rewards, and professional development opportunities.
- Other info: Collaborate with traders and tech teams in a global environment focused on innovation.
- Why this job: Make a real impact on high-performance analytics that drive Citi’s equity derivatives platform.
- Qualifications: Expertise in C++ and quantitative modelling, with a strong background in financial services.
The predicted salary is between 81000 - 99000 £ per year.
Overview
As a Quantitative Analyst in Citi’s Equity Quantitative Derivative team, you will develop pricing and risk analytics for equity derivatives in a front-office setting.
You will build production-grade libraries and models, collaborating with traders, structurers, and tech teams to translate business needs into scalable solutions.
The role focuses on advanced derivatives modelling and large-scale C++ development to support real-time pricing and risk management.
You will work on impactful, high-performance analytics that underpin Citi’s equity derivatives platform.
This is a hands-on opportunity to shape pricing capabilities and governance within a global, collaborative environment.
- Pay / Benefits
- hybrid working (3 days in office, 2 remote)
- professional development opportunities
- competitive rewards and benefits
- global, front-office environment
- collaboration with traders and technologists
Responsibilities
- Design, build, and enhance a production-grade pricing library for equity derivatives
- Implement and maintain pricing models (Monte Carlo, PDE solvers, stochastic/local volatility, jump processes)
- Develop analytics libraries for real-time pricing and risk management
- Optimize large-scale C++ codebases for performance and stability
- Build and support payoff scripting frameworks for equity derivative structures
- Establish and uphold model testing, validation, and governance practices
- Collaborate with traders, structurers, and technology teams to deliver quantitative solutions
- Key requirements
- Quantitative modelling or analytics experience in financial services
- Expert-level C++ development for large-scale libraries
- Expert knowledge of derivatives pricing, especially in equity derivatives
- Deep expertise in numerical methods for financial modelling (Monte Carlo, PDE)
- Advanced degree in Quantitative Finance, Mathematics, Physics, or related field
- Clear, concise communication across quantitative, trading, and tech teams
- Strong communication
- Cross-functional collaboration
- Problem-solving mindset
- Large-scale production C++ libraries
- Derivatives pricing models
- Monte Carlo simulation
Front Office Equity Derivatives Quant (C++ Pricing Models), VP in London employer: Citigroup
Citi is an exceptional employer, offering a dynamic work environment in the heart of London where innovation meets collaboration. As a Sales Director, you will benefit from extensive training and mentorship opportunities, fostering your professional growth while working alongside industry leaders in FX Sales. With a strong commitment to integrity and inclusivity, Citi provides a supportive culture that empowers employees to excel and drive meaningful results for clients.
