Quantitative Analyst

Citigroup Global Markets Inc. seeks a Quantitative Analyst-Interest Rate Derivatives for its New York, New York location. Duties: 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 a variety of mathematical and computer science methods and tools including hardware acceleration, advanced calculus, C++, C#, .NET, object-oriented software design, Python, SQL, mathematical finance, programming, statistics and probability. Apply knowledge of probability and stochastics to develop mathematical models for the pricing of interest rate derivatives which are suitable for daily risk management. Collaborate with Traders, Structurers, and technology professionals. Work with trading function to risk manage the portfolio of interest rate derivatives and respond to new client requests. Develop pricing models using numerical techniques for valuation including Monte Carlo Methods and partial differential equation solvers. Work with control functions including Legal, Compliance, Market and Credit Risk, Audit, Finance to ensure appropriate governance and control infrastructure. Coordinate with risk and control functions to test and document performance of interest rate derivative models. Contribute to a culture of responsible finance, good governance, expense discipline and ethics. A telecommuting/hybrid work schedule may be permitted within a commutable distance from the worksite, in accordance with Citi policies and protocols. Requirements: Requires a Master’s degree or foreign equivalent in Quantitative & Computational Finance, Financial Engineering or related field and 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. 1 year of experience must include: 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; and Python programming. Wage Range: $150,000 to $175,000 Job Family Group: Institutional Trading Job Family: Quantitative Analysis Citi is an equal opportunity employer, and qualified candidates will receive consideration without regard to their race, color, religion, sex, sexual orientation, gender identity, national origin, disability, status as a protected veteran, or any other characteristic protected by law.

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