Job Information
Citigroup Global Markets Inc. Quantitative Analyst in New York, New York
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. Salary range: $175,000 to $175,000/yr; 40 hrs/wk. Applicants submit resumes at https://jobs.citi.com/. Please reference Job ID #24738298. EO Employer.
Minimum Salary: 175,000 Maximum Salary: 175,000 Salary Unit: Yearly