Are you a strategic and highly skilled Quantitative Analyst with a recognized technical authority in Interest Rate Derivatives? Citi is seeking an experienced professional to join our team, working closely with Trading, Sales, Structuring, and Risk & Control Functions. This pivotal role involves contributing to directional strategy and applying your expertise to pricing model development within our strategic Interest Rate analytics library.

Team/Role Overview:

This role is for an Interest Rate Derivatives Option Quant, you will be a key contributor to the development of our strategic Interest Rate analytics library, which is essential for supporting pricing and risk management activities across the business. Your work will involve close collaboration with the trading desks to develop novel risk management and market making tools.

What You'll Do:

• Develop and enhance analytics libraries used for pricing and risk management of Interest Rate Derivatives.
• Create, implement, and support quantitative models for the trading business, leveraging a wide variety of mathematical and computer science methods and tools. This includes advanced calculus, Python and C++.
• Develop sophisticated pricing models using advanced numerical techniques for valuation, such as Monte Carlo Methods and partial differential equation solvers.
• Collaborate closely with Traders, Structurers, and technology professionals to deliver effective solutions.
• Work in close partnership with control functions such as Legal, Compliance, Market and Credit Risk, Audit, and Finance to ensure appropriate governance and control infrastructure.
• Contribute to building 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 all team members understand the need to do the same, demonstrating proper consideration for the firm’s reputation.
• Be familiar with and adhere to Citi’s Code of Conduct and the Plan of Supervision for Global Markets and Securities Services, ensuring all team members understand and follow these guidelines.
• Adhere to all policies and procedures as defined by your role and maintain all required registrations/licenses within the appropriate timeframe.
• Appropriately assess risk when making business decisions, safeguarding Citigroup, its clients, and assets by driving compliance with applicable laws, rules, and regulations, adhering to Policy, applying sound ethical judgment, and escalating, managing, and reporting control issues with transparency.

What We'll Need From You:

• Experience in a comparable quantitative modelling or analytics role, ideally within the financial sector.
• Experience with standard rates models (SABR, HJM) and products (Swaptions and CMS Caps).
• Excellent technical/programming skills in C++ and Python.
• Proficiency in statistics and probability-based calculations, including using probability theory to evaluate risks, solve analytical equations, and design numerical schemes for complex financial instruments.
• Strong understanding of software design and principles.
• Consistently demonstrates clear and concise written and verbal communication skills.
• Master’s or PhD degree in a relevant quantitative subject.