Quantitative Analyst – FX Options Electronic Pricing & Automation, VP

Overview

In this hands-on, engineering-focused quant role, you will shape Citi’s FX Options electronic pricing platform within a live front-office setting. You’ll own production-grade pricing infrastructure, collaborating with traders, structurers, and technologists to automate and enhance pricing across complex derivatives. You’ll apply quantitative techniques in real-time risk and pricing, driving scalable solutions in C++ and Python. This role offers direct business impact, governance oversight, and a clear path from technical quant to broader front-office responsibilities.

Pay / Benefits

• hybrid work model
• career development opportunities
• structured exposure to trading and structuring
• learning resources
• competitive compensation
• global professional network

Responsibilities

• Design and implement production software for real-time pricing and risk management of FX Options
• Enhance electronic pricing, risk analytics, and automation within the pricing platform
• Deliver high-performance quantitative solutions using C++ and Python with solid OO design
• Collaborate with traders, structurers, and technologists to translate business needs into robust systems
• Ensure models and systems comply with governance, risk, and control frameworks
• Assess risk profiles of models and systems with emphasis on accuracy, transparency, and ethics

Key requirements

• Proficiency in production software development in modern C++ and Python with OO design
• Experience applying statistics, probability, and math to model complex derivatives including FX Options
• Familiarity with market data concepts and pricing/risk analytics
• Understanding of quantitative finance principles and investment products
• Strong written and verbal communication for cross-functional collaboration
• Bachelor’s degree in a quantitative field (math, physics, CS, engineering)
• Experience in front-office trading environments is a plus

• collaboration
• clear communication
• analytical thinking
• C++
• Python
• statistics

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