AVP Quantitative Engineer – Exotic Equity Derivatives

Citi • New York, NY

1d • $150,000 - $175,000

About The Position

This is an entry point into quantitative finance for a motivated recent graduate or final-year student with a strong quantitative and programming background. The Quantitative Engineer will support Fundamental Review of the Trading Book (FRTB) implementation and analytics for Exotic Equity Derivatives desks, working with senior quantitative analysts, traders, market risk managers, and technology partners to build, test, and improve regulatory models, capital calculations, and pricing libraries.

Requirements

• A Master's degree in a STEM discipline or related quantitative field is the minimum qualification.
• Comfortable coding in C++ and/or Python.
• Hands-on experience implementing numerical algorithms, linear algebra, or simulations through coursework, projects, or internships.
• A good grounding in probability, statistics, stochastic calculus, linear algebra, and numerical analysis.
• Analytical and detail-oriented, with a strong problem-solving mindset.
• Curious and eager to learn complex products and regulation.
• Able to communicate quantitative ideas clearly.
• Collaborative and comfortable working in a fast-paced, global environment.

Nice To Haves

• Ph.D. in a STEM discipline or related quantitative field.
• Exposure to Python tools such as NumPy, SciPy, and Pandas; Git; Linux; and build systems such as CMake.
• Interest in or academic exposure to derivative pricing and market-risk concepts such as FRTB, VaR, Expected Shortfall, and Greeks.
• Interest in developing high-performance C++ skills.

Responsibilities

• Help build and maintain C++ libraries for exotic pricing, risk, and regulatory calculations.
• Contribute to modelling and implementing FRTB frameworks, including SA, IMA, NMRF, and DRC, across exotic products.
• Implement and benchmark numerical techniques such as Monte Carlo, PDE solvers, trees and lattices, and sensitivities/AAD.
• Collaborate with traders, structurers, risk quants, and technology teams to integrate models and deploy them to production.
• Write unit tests, regression suites, performance benchmarks, and technical documentation.

Benefits

• Medical coverage
• Dental coverage
• Vision coverage
• 401(k)
• Life insurance
• Accident insurance
• Disability insurance
• Wellness programs
• Paid time off, including vacation and sick leave
• Paid holidays
• Eligible employees may receive discretionary and formulaic incentive and retention awards

What This Job Offers

• Job Type: Full-time
• Career Level: Entry Level