Citi
FX Options Quantitative Developer (Assistant Vice President)
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Quantitative Developer - FX Options Quantitative Development Team
Join Citi to become part of a global organisation whose mission is to serve as a trusted partner to our clients by responsibly providing financial services that enable growth and economic progress.
Team/Role Overview
Citi is seeking a Quantitative Developer to join the FX options quantitative development team, focussing on building and maintaining the pricing and risk infrastructure for the FX Options trading desk. In this role, you’ll bridge software engineering and quantitative finance, converting complex mathematical models into robust production systems used daily by traders and structurers. This is a chance to directly impact how FX Options are priced, risk-managed, and scaled globally.
What You’ll Do
- Build and maintain analytics libraries supporting real-time pricing and risk management for FX Options products.
- Design and implement quantitative pricing models using numerical techniques like Monte Carlo methods and partial differential equation solvers.
- Develop production software in C++ and Python, applying object-oriented design principles and performance optimisation techniques, including hardware acceleration.
- Collaborate closely with traders and structurers, translating business requirements into reliable, scalable quantitative systems.
- Integrate models with trading infrastructure in partnership with technology teams.
- Work with risk, compliance, legal, and finance stakeholders to ensure systems meet governance and risk standards.
- Maintain risk awareness in model contributions, aligning outputs with the firm’s risk and conduct policies.
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What We’ll Need From You
- Proven software engineering experience in C++ and Python, with practical application.
- Strong knowledge of statistics, probability, and financial instruments, including evaluation and risk assessment techniques.
- Ability to design/f उसके analytical schemes and solve financial-modelling equations.
- Familiarity with market data structures for pricing and risk calculations.
- Understanding of quantitative methods and investment products (deep or broad), with eagerness to develop further.
- Clear communication skills, able to explain technical concepts to non-technical collaborators.
- A bachelor’s degree or equivalent in mathematics, computer science, physics, or engineering.
Beneficial Skills & Qualifications
- Exposure to FX Options or other derivatives, including their structure and trading mechanics.
- Experience working with trading desks or quantitative research teams.
- Hands-on experience with hardware acceleration for performance-critical quant applications.
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What We Offer
Citi prioritises both financial and social impact while putting employees first. By joining Citi London, you’ll enjoy:
- A business-casual workplace with a hybrid model (up to 2 remote days/week).
- Competitive salary (Annual Review) and performance-related bonuses.
- Benefits including:
- 27+ holiday days (plus bank holidays, increasing with tenure).
- Private medical insurance tailored to personal needs.
- Employee Assistance Program, Pension Plan, Paid Parental Leave.
- Employee discounts, learning/development resources.
- An inclusive workplace where diverse talents can thrive, motivated by global opportunities.
Equal Opportunity Affirmation
Citi is an equal opportunity employer. Qualified candidates receive consideration regardless of: Race, color, religion, sex, sexual orientation, gender identity, national origin, disability, veteran status, or any other legally protected characteristic.
For disability-related accommodations, visit Accessibility at Citi.
Discover the full extent of your potential at Citi—[Apply Now].
Job Family Group: Institutional Trading & Quantitative Analysis – Full Time
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