Quantitative Analyst - Interest Rate Derivatives, Citi

Citi

Location:
United Kingdom, London

Category:
IT - Software Development

Contract Type:
Not provided

Salary:

Not provided

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Job Description:

Citi is seeking an experienced Quantitative Analyst to join our team, working closely with Trading, Sales, Structuring, and Risk & Control Functions. This pivotal role involves contributing to directional strategy and applying your expertise to pricing model development within our strategic Interest Rate analytics library. The role is for an Interest Rate Derivatives Quant, reporting directly to the Global Head of Non-Linear Interest Rates Quants, and will be a key contributor to the development of our strategic Interest Rate analytics library, which is essential for supporting pricing and risk management activities across the business.

Job Responsibility:

Develop and enhance analytics libraries used for pricing and risk management of Interest Rate Derivatives
Create, implement, and support quantitative models for the trading business
Develop sophisticated pricing models using advanced numerical techniques for valuation, such as Monte Carlo Methods and partial differential equation solvers
Collaborate closely with Traders, Structurers, and technology professionals to deliver effective solutions
Work in close partnership with control functions such as Legal, Compliance, Market and Credit Risk, Audit, and Finance to ensure appropriate governance and control infrastructure
Contribute to building a culture of responsible finance, good governance and supervision, expense discipline, and ethics

Requirements:

Strong experience in a comparable quantitative modelling or analytics role, ideally within the financial sector
Expertise with standard rates models (SABR, HJM, Markov functional) and products (Swaptions, CMS, Path-Dependent Exotics)
Excellent technical/programming skills in C++ and Python
Proficiency in statistics and probability-based calculations, including using probability theory to evaluate risks, solve analytical equations, and design numerical schemes for complex financial instruments
Strong understanding of software design and principles
Consistently demonstrates clear and concise written and verbal communication skills
Master's or PhD degree in a relevant quantitative subject

What we offer:

Recognized Technical Authority
High-Impact Role
Advanced Quantitative Work
Cutting-Edge Technology
Extensive Collaboration
Career Growth

Additional Information:

Job Posted:
November 05, 2025

Employment Type:

Fulltime

Work Type:

On-site work

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Quantitative Analyst - Interest Rate Derivatives