FX Options Quantitative Developer – Assistant Vice President

About the role

Citi is seeking an Assistant Vice President to join its FX Options quantitative development team in London. You will bridge software engineering and quantitative finance, turning complex mathematical models into production‑grade systems that power the FX Options trading desk.

Key responsibilities

• Build and maintain analytics libraries for real‑time pricing and risk management of FX Options.
• Design and implement quantitative pricing models using Monte Carlo simulations and PDE solvers.
• Develop high‑performance production code in C++ and Python, applying object‑oriented design and hardware acceleration techniques.
• Collaborate with traders, structurers, and technology teams to integrate models into the trading infrastructure.
• Work with risk, compliance, legal, and finance teams to ensure models meet governance standards.

Required profile

• Proven software engineering experience in C++ and Python.
• Strong knowledge of statistics, probability theory, and their application to complex financial instruments.
• Ability to design and implement numerical schemes for financial modelling.
• Familiarity with market data structures used in pricing and risk calculations.
• Excellent written and verbal communication skills.

Required skills

• C++
• Python
• Monte Carlo methods
• Partial differential equation (PDE) solvers
• Object‑oriented design
• Performance optimisation
• Hardware acceleration
• Market data structures

What we offer

• Opportunity to impact global FX Options pricing and risk management.
• Collaborative environment with leading traders and technologists.
• Career development within a worldwide financial institution.