Senior Quantitative Analyst – FX Options Electronic Pricing & Automation, Director

Overview

As a Senior Quantitative Analyst at Citi, you will own the end-to-end lifecycle of quantitative changes for FX Options pricing and automation in a fast-paced front-office setting. You’ll build production-grade pricing and risk libraries, work closely with traders and tech teams, and ensure governance and deployment are integrated into daily workflows. Your impact spans from design through production adoption, delivering scalable, robust systems. This role offers a chance to shape pricing capabilities at a leading global bank and drive meaningful business outcomes.

Pay / Benefits

• hybrid working (3 days in office, 2 remote)
• global scale and resources
• performance-driven environment
• professional development opportunities
• collaboration with traders and technologists

Responsibilities

• Design and build analytics libraries for pricing and risk in FX Options
• Implement and enhance production electronic pricing, risk management, and automation
• Create, deploy, and maintain production quantitative systems across the full change lifecycle
• Develop production systems using C++, Python, kdb, and SQL with OO design
• Collaborate with traders, structurers, quants, and tech teams to translate requirements into production-ready solutions
• Manage pricing controls, parameter management, and quantitative data governance in live trading
• Partner with model validation, risk, compliance, legal, and finance to meet governance and regulatory standards

Key requirements

• Experience delivering automated electronic pricing or options pricing in FX Options or a analogous derivatives business with production deployment and measurable business impact
• Proficiency in C++ and Python for production software with OO design and production-quality practices
• Solid knowledge of statistics and probability for risk evaluation and numerical methods
• Experience managing the full quantitative change lifecycle including deployment, governance, and support
• Ability to translate quantitative concepts for technical, trading, and control audiences
• Master’s degree in a quantitative discipline such as mathematics, physics, computer science, or engineering

• Cross-functional collaboration
• Clear communication across technical and non-technical stakeholders
• Analytical and structured problem-solving
• C++
• Python
• kdb

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