Location: New York,NY, USA
Citigroup Global Markets Inc. seeks a Quantitative Analyst for its New York, New York location. Duties: Develop analytics libraries used for pricing and risk-management of Equity derivatives for the SES (Structured Equities Solutions) business. Create, implement, and support quantitative models for the SES trading business using C++ and Python and mathematical modelling. Work in close partnership with control functions such as Market and Credit Risk and Model Risk in order to ensure appropriate governance and control of models used by SES as well as other Equity derivative desks. Supports trading with day-to-day quantitative requests and questions on Equity derivatives products. Script complex new contractual features. Model risk management for SES products: writing of model documents, onboarding of models to Ongoing Performance Assessment platform, working with model validators to achieve approval of new models and new features for existing models. 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 Bachelor's degree (3 or 4 year), or foreign equivalent, in Mathematics, Physics or related quantitative field and 3 years of experience as a Quantitative Analyst, Quantitative Developer, Quantitative Risk Analyst or related position involving research and development of mathematical pricing and risk models. 3 years of experience must include: Equity market products; Calculus, numerical mathematics, linear algebra, probability theory, statistics, stochastic processes, Markov processes, Martingales; SQL, Git, Jira, Excel; Python; At least 2 years of experience must include: Brownian motion, ordinary and partial differential equations, Ito calculus; No-arbitrage pricing theory; Analytic, Tree, and Partial differential equation and Monte Carlo methods; C++. Applicants submit resumes at Please reference Job ID #24781623. EO Employer. Wage Range: $160,000 to $175,000 Job Family Group: Institutional Trading Job Family: Quantitative Analysis Job Family Group: Job Family: Time Type: 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. Anticipated Posting Close Date: Oct 07, 2024 Citi is an equal opportunity and affirmative action employer. Qualified applicants will receive consideration without regard to their race, color, religion, sex, sexual orientation, gender identity, national origin, disability, or status as a protected veteran. Citigroup Inc. and its subsidiaries ( Citi ) invite all qualified interested applicants to apply for career opportunities. 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. View the EEO is the Law poster. View the EEO is the Law Supplement. View the EEO Policy Statement. View the Pay Transparency Posting