Citi
London, UK
Citi is looking for a Quantitative Analyst to join its Equity Quantitative Derivative team within Markets Quantitative Analysis — a front-office group responsible for the research, development, and maintenance of pricing and risk models that underpin Citi's global Equity Derivatives franchise. In this role, you will combine advanced derivatives modelling with large-scale C++ development, building production-grade analytics libraries used directly by traders and structurers. This is a high-impact position where your quantitative expertise shapes the performance and reliability of Citi's equity derivatives platform. Responsibilities Design, build, and enhance a production-grade pricing library for equity derivative products, ensuring robust model integration and engineering excellence. Implement and maintain derivative pricing models — including stochastic and local volatility, stochastic correlation, and jump processes — using numerical methods such as Monte Carlo simulation...