Quantitative Analyst – FX Options Electronic Pricing & Automation, VP

Citi is looking for a Quantitative Analyst to help shape the next generation of its FX Options electronic pricing platform, working at the intersection of quantitative finance, software engineering, and live trading. This is a hands-on engineering-focused quant role embedded within a front-office environment, offering real ownership over pricing infrastructure that directly supports business growth and automation. You will collaborate daily with traders, structurers, and technologists to build and evolve production-grade systems that price and manage risk across complex financial instruments.

Responsibilities

• Develop analytics libraries that power real-time pricing and risk management across FX Options products.
• Implement, maintain and enhance production electronic pricing, risk management and automation capabilities across the FX Options business, applying appropriate quantitative techniques where required.
• Contribute to the evolution of the electronic pricing platform, delivering increased automation and new pricing capabilities.
• Develop high-performance quantitative solutions in modern C++ and Python, applying object-oriented design principles.
• Partner closely with traders and structurers to translate business requirements into robust, production-ready pricing infrastructure.
• Work with risk, compliance, and finance functions to ensure models and systems operate within appropriate governance and control frameworks.
• Apply sound judgement when assessing the risk profile of systems and models, maintaining high standards of accuracy, transparency, and ethical conduct.

Required Qualifications & Skills

• Demonstrated ability to design and implement production software in modern C++ and Python, including object-oriented design principles and production-quality development practices.
• Hands-on experience applying statistics, probability theory, and mathematical techniques to evaluate and model the behaviour of complex derivative products, including FX Options.
• Familiarity with market data concepts and their application in pricing, electronic pricing or risk analytics.
• Understanding of quantitative finance principles, including investment products and quantitative methods.
• Clear and confident written and verbal communication skills, with the ability to collaborate effectively across trading, technology, and control functions.
• A Bachelor's degree or equivalent in a quantitative discipline such as mathematics, physics, computer science, or engineering.