Quantitative Analyst
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About The Position
Citigroup Global Markets Inc. seeks a Quantitative Analyst for its New York, NY location. The role involves performing independent quantitative analysis in volatility modeling and hedging for the equity derivatives institutional trading business. The analyst will utilize traditional and novel data science methods for trading data analysis, including optimization methods and machine learning approaches, such as reinforcement learning. Responsibilities include analyzing complex numerical and statistical data to develop derivatives valuation models, designing quantitative applications and algorithms for volatility risk and hedging in collaboration with institutional trading and risk teams, and developing pricing and risk functionalities in Python and C++. The analyst will act as an expert in volatility modeling and flow equity derivatives across business areas with clients and partners, proposing, implementing, and presenting essential modeling solutions to trading business and risk management teams. A telecommuting/hybrid work schedule may be permitted within a commutable distance from the worksite, in accordance with Citi policies and protocols.
