Quantitative Analyst, Citi

Citi

Location:
United States, New York

Category:
Finance

Contract Type:
Employment contract

Salary:

150000.00 - 175000.00 USD / Year

Save Job

Apply Position

Job Description:

Citigroup Global Markets Inc. seeks a Quantitative Analyst-Interest Rate Derivatives to develop, maintain and improve financial models for pricing exotic interest rate derivatives for trading desks and risk management globally. The role involves creating and implementing quantitative models using mathematical and computer science methods, collaborating with various teams, and ensuring proper governance and control infrastructure.

Job Responsibility:

Develop, maintain and improve the financial models used for the pricing of exotic interest rate derivatives for trading desks and risk management globally
Create, implement and support quantitative models for the trading business leveraging mathematical and computer science methods
Apply knowledge of probability and stochastics to develop mathematical models for pricing interest rate derivatives
Collaborate with Traders, Structurers, and technology professionals
Work with trading function to risk manage the portfolio of interest rate derivatives
Develop pricing models using numerical techniques including Monte Carlo Methods and partial differential equation solvers
Work with control functions to ensure appropriate governance and control infrastructure
Coordinate with risk and control functions to test and document performance of interest rate derivative models

Requirements:

Master's degree or foreign equivalent in Quantitative & Computational Finance, Financial Engineering or related field
1 year of experience as a Quantitative Analyst or related position involving derivative pricing model development and risk management support in a global financial services institution
Derivative pricing models development using C++
Probability and stochastics including Measure Theory
Interest rate modelling
Exotic derivative products
Monte Carlo Methods and partial differential equation solvers
Stochastic calculus
Python programming

What we offer:

Medical, dental & vision coverage
401(k)
Life, accident, and disability insurance
Wellness programs
Paid time off packages including vacation, sick leave, and paid holidays
Discretionary and formulaic incentive and retention awards

Additional Information:

Job Posted:
September 30, 2025

Expiration:
November 07, 2025

Employment Type:

Fulltime

Work Type:

Hybrid work

View All Jobs In This Company

Job Link Share:

Quantitative Analyst

Citi

Location:United States, New York

Category:Finance

Contract Type:Employment contract