Summary

This VP quantitative analyst role develops production pricing, risk, and automation systems for Citi’s FX Options business. It combines quantitative finance and software engineering in a hybrid arrangement, with three days in the office and two working remotely.

Responsibilities

• Develop analytics libraries for real-time pricing and risk
• Implement production electronic pricing and automation systems
• Build high-performance solutions in C++ and Python
• Translate trading requirements into pricing infrastructure
• Maintain quantitative models for FX options products
• Assess system and model risks within governance frameworks