AVP Quantitative Engineer – Exotic Equity Derivatives

The Role:

A great entry point into quantitative finance for a motivated recent graduate or final-year student (Master's, Ph.D. or strong Bachelor's) with a solid quantitative and programming background.

You will support the Fundamental Review of the Trading Book (FRTB) implementation and analytics for our Exotics desks, working alongside senior quants, traders, market risk managers and technology partners to build, test and improve regulatory models, capital calculations and pricing libraries.

What you will do:

• Library development: Help build and maintain the C++ libraries behind exotics pricing, risk and regulatory calculations.
• FRTB delivery: Contribute to modelling and implementing FRTB frameworks (SA, IMA, NMRF, DRC) across exotic products.
• Numerical methods: Implement and benchmark techniques such as Monte Carlo, PDE solvers, trees/lattices and sensitivities/AAD.
• Collaboration: Partner with traders, structurers, risk quants and technology to integrate models and roll them into production.
• Quality & documentation: Write unit tests, regression suites, performance benchmarks and clear technical documentation.

WHAT WE'RE LOOKING FOR

• ·Programming: Comfortable coding in C++ and/or Python. A genuine interest in high-performance C++ matters more than being an expert today — we will help you grow your skills on the job.
• Tools: Exposure to Python (NumPy, SciPy, Pandas), Git, Linux and build systems like CMake is a plus.
• Numerical skills: Some hands-on experience implementing numerical algorithms, linear algebra or simulations — from coursework, projects or internships.
• Mathematics: Good grounding in probability, statistics, stochastic calculus, linear algebra and numerical analysis.
• Finance (nice to have): Interest in or academic exposure to derivative pricing and market-risk concepts (FRTB, VaR, Expected Shortfall, Greeks).

YOU'LL THRIVE HERE IF YOU ARE

• ·Analytical and detail-oriented, with a strong problem-solving mindset.
• Curious and eager to learn complex products and regulation.
• A clear communicator who can explain quantitative ideas simply.
• A collaborative team player who enjoys a fast-paced, global environment.

EDUCATION

• PhD preferred in a STEM discipline, including but not limited to Mathematics, Statistics, Physics, Computer Science, Data Science, Machine Learning, Artificial Intelligence, Operations Research, Quantitative Finance, Econometrics, Engineering, or a related quantitative field.
• Master’s degree required as the minimum qualification in one of the above STEM disciplines.

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In addition to salary, Citi’s offerings may also include, for eligible employees, discretionary and formulaic incentive and retention awards. Citi offers competitive employee benefits, including: medical, dental & vision coverage; 401(k); life, accident, and disability insurance; and wellness programs. Citi also offers paid time off packages, including planned time off (vacation), unplanned time off (sick leave), and paid holidays. For additional information regarding Citi employee benefits, please visit citibenefits.com. Available offerings may vary by jurisdiction, job level, and date of hire.

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Most Relevant Skills

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Other Relevant Skills

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Anticipated Posting Close Date:

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Automated Processing and AI

We use automated processing, including artificial intelligence, for our legitimate business interests (or our reasonable and appropriate business purposes) to identify and align the candidate's skills and abilities with a specific job opening. Additionally, if you so choose, or consent, we can match your skills and abilities to other suitable roles at Citi.

Importantly, all our hiring processes and decisions, including determining your suitability for a role, are conducted, checked, and decided by individuals. Our automated processing and AI do not involve relying on automatic or autonomous decision-making. Please refer to any Jurisdictional Considerations, with specific provisions for your country (where relevant) for further details.

Illinois residents – AI Notice and Right

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Citi is an equal opportunity employer, and qualified candidates will receive consideration without regard to their race, color, religion, sex, sexual orientation, gender identity, national origin, disability, status as a protected veteran, or any other characteristic protected by law.

If you are a person with a disability and need a reasonable accommodation to use our search tools and/or apply for a career opportunity review Accessibility at Citi.

View Citi’s EEO Policy Statement and the Know Your Rights poster.