Commodities Quantitative Analyst – Assistant Vice President

About the role

Citi is seeking a quantitative analyst to join its front‑office Commodities Quant team in London. The role supports the Commodities XVA desk across a range of asset classes, including oil, power, gas, metals, agriculturals and exotics.

Key responsibilities

• Develop and maintain analytics libraries used for pricing and risk‑management.
• Create, implement and support quantitative models for the trading business, leveraging hardware acceleration and advanced mathematical techniques.
• Design pricing models using Monte Carlo simulations and partial‑differential‑equation solvers.
• Collaborate closely with traders, structurers and technology professionals.
• Partner with legal, compliance, market risk, credit risk, audit and finance to ensure robust governance and control.
• Assess risk/reward of transactions and promote a culture of responsible finance and ethics.

Required profile

• Strong quantitative background with experience in financial modelling and risk analytics.
• Proven ability to work with trading desks and cross‑functional control teams.
• Familiarity with Citi’s Code of Conduct and global supervision frameworks.

Required skills

• C++ programming
• Python programming
• JavaScript and React
• Hardware acceleration (e.g., GPU computing)
• Advanced calculus and numerical techniques
• Monte Carlo methods
• PDE solvers
• Statistical analysis and probability theory
• Mathematical finance concepts