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To work within the Rates quant team on Exotic models, expanding our existing library to include new features and models.
Director level front-office rates quant to work on dpAddins (Citi's heavily used and highly regarded C++ analytics library, used for Citi's rates pricing and risk-management) delivering pricing and modelling enhancements to the Rates exotics library. Strong C++ and financial maths required, and a track record of delivering results to the business in a timely manner. Rates or FX exotics experience required.
Expanding modelling capabilities, working within multifactor models, maintaining and improving code base, interacting with trading desk and other functions. Working independently to complete projects.
MSc or PhD in a mathematical subject.
The ideal candidate would have experience working with trading desks to develop, manage and extend exotic derivatives models.
Experience implementing exotics derivatives models in C++ in a timely manner.
Strong quant modeling, knowledge of interest rate and FX modelling, good communication and programming experience.
Track record of delivering projects.
Strong financial mathematics skills.
Strong interpersonal and communication skills (verbal and written).
Ability to work in a fast paced environment.
Exceptional candidates who do not meet these criteria may be considered for the role provided they have the necessary skills and experience. Valuing Diversity: Demonstrates an appreciation of a diverse workforce. Appreciates differences in style or perspective and uses differences to add value to decisions or actions and organisational success. Citi is an Equal Opportunities Employer
Internal Number: 5506543
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