Base: $225,000 to $250,000; bonus/equity: discreti...
Hybrid
Monte carlo methods valuation
Partial differential equations
C++ and python implementation
The role involves developing pricing models and analytical tools for new product development in partnership with structurers and traders
Job Summary
The role involves developing pricing models and analytical tools for new product development in partnership with structurers and traders.
Candidates will be responsible for managing model governance, performing quantitative analysis to understand risks, and ensuring regulatory compliance.
Citi offers competitive benefits including medical coverage, 401(k), life insurance, and paid time off packages.
Matching Summary
The role involves developing pricing models and analytical tools for new product development in partnership with structurers and traders.
Salary
Base: $225,000 to $250,000; Bonus/Equity: Discretionary and formulaic incentive awards available; Benefits: Medical, dental, vision, 401(k), life insurance, wellness programs
Skills & Requirements
Must-have
Monte Carlo Methods valuation
Partial differential equations
C++ and Python implementation
Exotics equity derivatives
Model governance and performance
P&L and Model Reserve calculations
Nice-to-have
Machine learning applications
Academic literature research
Statistical model development
Cross-functional team leadership
Automated calibration tools
Key Requirements
Master's degree in Mathematics or related field
4 years experience as Quantitative Analyst
Experience with exotics equity derivatives
3 years experience with PDEs and C++/SQL
Knowledge of regulatory requirements and model documentation