Front Office Equity Derivatives Quant (C++ Pricing Models), VP

Overview

As a Quantitative Analyst in Citi’s Equity Quantitative Derivative team, you will develop pricing and risk analytics for equity derivatives in a front-office setting. You will build production-grade libraries and models, collaborating with traders, structurers, and tech teams to translate business needs into scalable solutions. The role focuses on advanced derivatives modelling and large-scale C++ development to support real-time pricing and risk management. You will work on impactful, high-performance analytics that underpin Citi’s equity derivatives platform. This is a hands-on opportunity to shape pricing capabilities and governance within a global, collaborative environment.

Pay / Benefits

• hybrid working (3 days in office, 2 remote)
• professional development opportunities
• competitive rewards and benefits
• global, front-office environment
• collaboration with traders and technologists

Responsibilities

• Design, build, and enhance a production-grade pricing library for equity derivatives
• Implement and maintain pricing models (Monte Carlo, PDE solvers, stochastic/local volatility, jump processes)
• Develop analytics libraries for real-time pricing and risk management
• Optimize large-scale C++ codebases for performance and stability
• Build and support payoff scripting frameworks for equity derivative structures
• Establish and uphold model testing, validation, and governance practices
• Collaborate with traders, structurers, and technology teams to deliver quantitative solutions

Key requirements

• Quantitative modelling or analytics experience in financial services
• Expert-level C++ development for large-scale libraries
• Expert knowledge of derivatives pricing, especially in equity derivatives
• Deep expertise in numerical methods for financial modelling (Monte Carlo, PDE)
• Advanced degree in Quantitative Finance, Mathematics, Physics, or related field
• Clear, concise communication across quantitative, trading, and tech teams

• Strong communication
• Cross-functional collaboration
• Problem-solving mindset
• Large-scale production C++ libraries
• Derivatives pricing models
• Monte Carlo simulation

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