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Citigroup Global Markets Inc. seeks a Quantitative Analyst for its New York, New York location.

Duties: Develop new pricing models and extend existing pricing models with new features in C++ library using stochastic calculus and numerical techniques for valuation (including Monte Carlo Methods and Partial Differential Equation solvers) for Corporate Equity Derivative products. Enhance Share Buyback program modelling by implementing bespoke features in the C++ library for client needs (such as forward starting, lookback, knockout and over hedges). Implement a flexible framework in C++ library to represent margin loans inbooking system, including extending framework to accommodate for new features and scripting margin loan trades to monitor triggers and automatically perform triggered events. Develop pricing models for contractual bookings (including tranches, dividend protected and borrow cost protected products). Conduct extensive tests for model analysis and write model documentations for model validation. Provide continuous day-to-day support to trading business on model issues and risk management. Build Python tools for ad-hoc business analysis, such as Stressing Analysis Tools, Live Profit and Loss Analysis Tools. A telecommuting/hybrid work schedule may be permitted within a commutable distance from the worksite, in accordance with Citi policies and protocols.

Requirements: Requires Master’s degree (or foreign equivalent), in Finance, Mathematics or related field and 2 years of experience as a Quantitative Analyst, Quantitative Analysis Program Analyst, or related position involving financial modelling for the financial services industry. 2 years of experience must include: Financial modelling; Python programming; Financial risk management; SQL programming. 1 year of experience must include: Equity derivatives products; Numerical techniques for pricing models (Monte Carlo Methods and Partial Differential Equation solvers); Stochastic Calculus; C++ programming. Applicants submit resumes at https://jobs.citi.com/. Please reference Job ID #24738298. EO Employer.

Wage Range: $175,000 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:

Jun 14, 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 (https://www.citigroup.com/citi/accessibility/application-accessibility.htm) .

View the "EEO is the Law (https://www.dol.gov/sites/dolgov/files/ofccp/regs/compliance/posters/pdf/eeopost.pdf) " poster. View the EEO is the Law Supplement (https://www.dol.gov/sites/dolgov/files/ofccp/regs/compliance/posters/pdf/OFCCP_EEO_Supplement_Final_JRF_QA_508c.pdf) .

View the EEO Policy Statement (http://citi.com/citi/diversity/assets/pdf/eeo_aa_policy.pdf) .

View the Pay Transparency Posting (https://www.dol.gov/sites/dolgov/files/ofccp/pdf/pay-transp_%20English_formattedESQA508c.pdf)

Citi is an equal opportunity and affirmative action employer.

Minority/Female/Veteran/Individuals with Disabilities/Sexual Orientation/Gender Identity.