Front Office Equity Derivatives Quant (C++ Pricing Models), VP

• Expert-level C++ development skills, including hands-on contribution to the design and build of large-scale, production-quality libraries.
• Expert-level knowledge of derivatives pricing and products, with particular depth in equity derivatives.
• Deep expertise in numerical methods for financial modelling, specifically Monte Carlo simulation and partial differential equation solvers.
• Advanced degree in Quantitative Finance, Mathematics, Physics, or a closely related quantitative discipline.

Citi is looking for a Quantitative Analyst to join its Equity Quantitative Derivative team within Markets Quantitative Analysis - a front-office group responsible for the research, development, and maintenance of pricing and risk models that underpin Citi's global Equity Derivatives franchise. In this role, you will combine advanced derivatives modelling with large-scale C++ development, building production-grade analytics libraries used directly by traders and structurers. This is a high-impact position where your quantitative expertise shapes the performance and reliability of Citi's equity derivatives platform.

• Design, build, and enhance a production-grade pricing library for equity derivative products, ensuring robust model integration and engineering excellence.
• Implement and maintain derivative pricing models - including stochastic and local volatility, stochastic correlation, and jump processes - using numerical methods such as Monte Carlo simulation and PDE solvers.
• Develop analytics libraries that support real-time pricing and risk management across Citi's equity derivatives business.
• Optimise core C++ codebases for performance and stability, maintaining engineering standards across large-scale library development.
• Build and support payoff scripting frameworks that enable flexible and accurate trade representation across a range of equity derivative structures.
• Establish and uphold best practices for model testing, validation, and governance, working alongside model risk and control functions.
• Collaborate directly with traders, structurers, and technology teams to translate business needs into quantitative solutions.

• Demonstrable experience in a quantitative modelling or analytics role within the financial services industry.
• Clear and concise communication skills, with the ability to engage effectively across quantitative, trading, and technology teams.