FX Options Quantitative Developer - Assistant Vice President

By Joining Citi, you will 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 looking for a junior FX Quantitative Developer at AVP level to join the FX options quantitative development team which works directly with the FX quantitative analyst team on the same code base. This involves building and maintaining the pricing and risk analytics system that powers the FX Options trading desk. In this role, you will sit at the intersection of software engineering and quantitative finance. This is an opportunity to make a direct and measurable impact on how FX Options are priced, risk-managed, and delivered at global scale.

What you’ll do

• Build, maintain and develop our analytics library that supports real-time and end of day pricing and risk management for FX Options products through integration with risk tech and trading systems in Citi.
• Develop our analytics production software using C++ and Python, applying object-oriented design principles and performance optimization techniques including C++ and algorithmic optimization, grid distribution, calc graphs, use of internal Citi libraries and frameworks and hardware acceleration.
• You will primarily be developing on windows using C++ in Visual Studio and python in PyCharm/Jupyter notebook. We do build on and support Linux as well.
• Work closely with quants to give them technical support and help them get their changes into production.
• Collaborate with technology teams to integrate new releases, functionality and models into risk and trading infrastructure.
• Apply sound risk awareness when contributing to business decisions, ensuring that model outputs and system behavior align with the firm's risk and conduct standards.

What we’ll need from you

• Demonstrated software engineering ability in C++ and Python with practical experience.
• Clear and concise written and verbal communication skills, with the ability to explain technical concepts to non-technical partners.
• A bachelor's degree or equivalent experience in a relevant discipline such as mathematics, computer science, physics, or engineering.

Beneficial Skills & Qualifications

• Exposure to FX Options or other derivatives products, including an understanding of how they are structured and traded.
• Experience working in a financial services environment alongside trading desks or quantitative research teams.
• Experience in writing performant code
• Understanding of quantitative methods and investment products at any level of depth, with a willingness to develop further in a trading environment.
• Familiarity with market data structures and how they are used in pricing and risk calculations.
• PhD preferred in a STEM discipline, including but not limited to Mathematics, Statistics, Physics, Computer Science, Data Science, Machine Learning, Artificial Intelligence, Operations Research, Quantitative Finance, Econometrics, Engineering, or a related quantitative field.
• Master’s degree required as the minimum qualification in one of the above STEM disciplines.

What We Offer

We work hard to have a positive financial and social impact on the communities we serve. In turn, we put our employees first and provide the best-in-class benefits they need to be well, live well and save well.

By joining Citi London, you will not only be part of a business casual workplace with a hybrid working model (up to 2 days working at home per week), but also receive a competitive base salary (which is annually reviewed), and enjoy a whole host of additional benefits such as: 

• Generous holiday allowance starting at 27 days plus bank holidays; increasing with tenure

• A discretional annual performance related bonus 
• Private medical insurance packages to suit your personal circumstances
• Employee Assistance Program  
• Pension Plan 
• Paid Parental Leave 
• Special discounts for employees, family, and friends 
• Access to an array of learning and development resources 

Alongside these benefits Citi is committed to ensuring our workplace is where everyone feels comfortable coming to work as their whole self every day.  We want the best talent around the world to be energized to join us, motivated to stay, and empowered to thrive. 

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Job Family Group:

Institutional Trading

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Job Family:

Quantitative Analysis

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Time Type:

Full time

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Most Relevant Skills

Please see the requirements listed above.

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Other Relevant Skills

For complementary skills, please see above and/or contact the recruiter.

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