Quantitative Developer, Vp

Citi

Strong c++ programming skills
Experience with monte carlo methods
Knowledge of pde solvers
The role involves designing and deploying the roots library, Citi's core high-performance C++ numerical library used across multiple asset classes

Job Summary

  • The role involves designing and deploying the roots library, Citi's core high-performance C++ numerical library used across multiple asset classes.
  • Candidates will apply advanced mathematical techniques to solve critical performance, scalability, and stability challenges in derivatives pricing.
  • A PhD in a numerate discipline is strongly preferred given the seniority and specialist nature of this Quantitative Developer position.

Matching Summary

The role involves designing and deploying the roots library, Citi's core high-performance C++ numerical library used across multiple asset classes.

Skills & Requirements

Must-have

  • Strong C++ programming skills
  • Experience with Monte Carlo methods
  • Knowledge of PDE solvers
  • Low-level optimization techniques
  • Adjoint Algorithmic Differentiation concepts

Nice-to-have

  • CUDA hardware acceleration experience
  • Python programming proficiency
  • Mentoring junior team members
  • Windows and Linux development
  • SIMD intrinsics expertise

Key Requirements

  • Postgraduate degree in Mathematics, Physics, or Computer Science
  • PhD strongly preferred
  • Proven experience in high-performance computing roles

Work Rights

Not specified

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