Quantitative Developer, Equity Derivatives, Director

Citi•New York, NY

About The Position

Provides advanced judgment and conducts in-depth quantitative or qualitative analysis to solve problems and develop new, innovative solutions. Develop analytics libraries used for pricing and risk-management Support quantitative models for the trading business leveraging a wide variety of mathematical and computer science methods and tools including hardware acceleration, C++ including STL, Java, object oriented software design, Python, Structured Query Language (SQL), mathematical finance/ programming and statistics and probability Lead the design of library functionality including areas such as the Risk engine, Scenario analysis, library interface, grid computing, PAA Design and enforce coding standards and development best practices across the wider quantitative team Contribute to cross-asset forums around standardised tooling and design 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

Requirements

15+ years of experience in a comparable quantitative modeling or analytics role, ideally in the financial sector
Must have technical/programming skills; C++ & Python
Exposure to Market Data
Statistics and Probability based calculations
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, Master's degree preferred

Responsibilities

Develop analytics libraries used for pricing and risk-management
Support quantitative models for the trading business leveraging a wide variety of mathematical and computer science methods and tools including hardware acceleration, C++ including STL, Java, object oriented software design, Python, Structured Query Language (SQL), mathematical finance/ programming and statistics and probability
Lead the design of library functionality including areas such as the Risk engine, Scenario analysis, library interface, grid computing, PAA
Design and enforce coding standards and development best practices across the wider quantitative team
Contribute to cross-asset forums around standardised tooling and design
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