Quantitative Analyst – Commodities, VP
A front-office quant role in Citi's Market Quantitative Analysis team covering oil, power and gas, metals, agriculturals, investor products, exotics and CVA. The team supports the commodity trading desks in London, Houston and New York.
What you’d work on
Our reading of the posting: what a new hire in this role would most likely spend their first months on.
- Develop pricing and risk libraries for commodity desks
- Build Monte Carlo and PDE-based valuation models
- Support traders and structurers with model questions
- Work with IT and control teams on delivery and governance
What they ask for
Required
- Experience in a comparable quant modelling or analytics role
- Programming skills
- Statistics and probability
- Designing numerical schemes for complex contracts
- Market data exposure
- Software design principles
- Master's or PhD, or equivalent
- Education
- Master's or PhD, or equivalent
- Experience
- Prior quant modelling or analytics experience, years not stated
- Languages and tools
- Markets
- commodities
How to prepare
- Price a commodity option with Monte Carlo and PDE methods and compare results
- Learn forward curves and seasonality in energy and metals markets
- Study how models for commodity structured products work
- Practise C++ and Python numerical code
What to study
- Derivatives Pricing and Computational Finance
- Advanced Derivatives and Exotic Options
- Linear Algebra, Optimisation and Numerical Methods
- Modern C++ for Quantitative Finance
The Energy Quant roadmap sets out the stages for this kind of role, with free resources for each.
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Read the full posting on Citi’s site before applying: requirements, location and pay can change after we check them.
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SelfMadeQuant wrote this summary from the employer’s public posting, last checked 6 November 2026. SelfMadeQuant isn’t affiliated with Citi and doesn’t handle applications.