Quantitative Analyst

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

Duties: Perform independent quantitative analysis in volatility modeling and hedging for equity derivatives institutional trading business. Utilize traditional and novel data science methods for trading data analysis, including optimization methods and machine learning approaches, including reinforcement learning. Analyze complex numerical and statistical data and other variables to develop derivatives valuation models. Design quantitative applications and algorithms for volatility risk and hedging in collaboration with institutional trading and risk teams. Design and develop pricing and risk functionalities in Python and C++ for equity derivatives. Act as an expert in volatility modeling and flow equity derivatives across business areas with clients and partners, propose, implement, and present the essential modeling solutions to trading business and risk management teams. A telecommuting/hybrid work schedule may be permitted within a commutable distance from the worksite, in accordance with Citi policies and protocols.

Requirements: Master’s degree, or foreign equivalent, in Finance, Mathematics, Statistics, Machine Learning, or a related field, and four (4) years of experience in the job offered, or in a quantitative or finance occupation developing models and providing quantitative analysis for the financial services industry. Four (4) years of experience must include: Developing volatility models and pricing models for hedging and risk of equity derivatives using advanced calculus and differential equations; Coding in Python and C++ to develop and deliver quantitative applications for equity derivatives and perform computerized analysis and testing of quantitative data; Working with trading and risk to provide modeling solutions for equity derivatives products including European options, American options, Vol Index Futures and Variance Swap, modeling fair values on these equity derivatives as well as modeling various greeks for risk management purpose; Using statistics and data science methods, including optimization algorithms and machine learning, to provide volatility analytics solutions for flow equity derivatives; and Analyze and interpret implied volatility data to establish relationships and trends between volatility data, market volume, liquidity, macro events, and to prepare market volatility data for further processing. 40 hrs./wk. Applicants submit resumes at https://jobs.citi.com/. Please reference Job ID# 25827600. EO Employer.

Wage Range:                $200,000.00 to $250,000.00

Job Family Group:         Institutional Trading

Job Family:                   Quantitative Analysis

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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.

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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.

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