Equity Derivatives Quant Development - Assistant Vice President

Citi • New York, NY

4d

About The Position

Evaluates moderately complex and variable issues with substantial potential impact, where development of an approach/taking of an action involves weighing various alternatives and balancing potentially conflicting situations using multiple sources of information. Develop analytics libraries used for pricing and risk-management Create, implement, and support quantitative models for the trading business leveraging a wide variety of mathematical and computer science methods and tools including hardware acceleration, advanced calculus, C++ including STL, C#, .NET, Java, object oriented software design, Python, kdb, Structured Query Language (SQL), mathematical finance/ programming and statistics and probability Develop pricing models using numerical techniques for valuation including Monte Carlo Methods and partial differential equation solvers Collaborate closely with Traders, Structurers, and technology professionals Work in close partnership with control functions such as Legal, Compliance, Market and Credit Risk, Audit, Finance in order to ensure appropriate governance and control infrastructure Build a culture of responsible finance, good governance and supervision, expense discipline and ethics Appropriately assess risk/reward of transactions when making business decisions; and ensure that all team members understand the need to do the same, demonstrating proper consideration for the firm's reputation. Adhere to all policies and procedures as defined by your role which will be communicated to you Obtain and maintain all registrations/licenses which are required for your role, within the appropriate timeframe Development of the core pricing library and architectural design of the library Development of the testing framework Involved in coaching and training of new recruits. Significant impact in terms of project size, geography, etc. by influencing decisions through advice, counsel and/or facilitating services to others in area of specialization. Work and performance of all teams in the area are directly affected by the performance of the individual.

Requirements

• 5-8 years of experience in a comparable quantitative modeling or analytics role, ideally in the financial sector
• Must have technical/programming skills; C# .Net, SQL and C++
• Exposure to Market Data; Statistics and Probability based calculations; Using probability theory to evaluate the risks of complex financial instruments, solve analytical equations and design numerical schemes to analyze complex contracts; and Software design and principles
• Must also possess any level of product knowledge, Investments and Quantitative Methods
• Consistently demonstrates clear and concise written and verbal communication skills
• Bachelor's/University degree or equivalent experience

Responsibilities

• Develop analytics libraries used for pricing and risk-management
• Create, implement, and support quantitative models for the trading business leveraging a wide variety of mathematical and computer science methods and tools including hardware acceleration, advanced calculus, C++ including STL, C#, .NET, Java, object oriented software design, Python, kdb, Structured Query Language (SQL), mathematical finance/ programming and statistics and probability
• Develop pricing models using numerical techniques for valuation including Monte Carlo Methods and partial differential equation solvers
• Collaborate closely with Traders, Structurers, and technology professionals
• Work in close partnership with control functions such as Legal, Compliance, Market and Credit Risk, Audit, Finance in order to ensure appropriate governance and control infrastructure
• Build a culture of responsible finance, good governance and supervision, expense discipline and ethics
• Appropriately assess risk/reward of transactions when making business decisions; and ensure that all team members understand the need to do the same, demonstrating proper consideration for the firm's reputation.
• Adhere to all policies and procedures as defined by your role which will be communicated to you
• Obtain and maintain all registrations/licenses which are required for your role, within the appropriate timeframe
• Development of the core pricing library and architectural design of the library
• Development of the testing framework
• Involved in coaching and training of new recruits.

What This Job Offers

• Job Type: Full-time
• Career Level: Mid Level
• Number of Employees: 5,001-10,000 employees