Quant jobs / Citi

Quantitative Analyst – FX Options Electronic Pricing & Automation, VP

An engineering-focused front-office quant role on Citi's FX options electronic pricing platform. It builds the real-time pricing and risk systems used in live trading and automation.

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 real-time pricing and risk libraries for FX options
Extend the electronic pricing platform with more automation
Write modern C++ and Python for production pricing
Work daily with traders and structurers on requirements

What they ask for

Required

Production software in modern C++ and Python
Object-oriented design
Statistics and probability applied to derivatives like FX options
Market data in pricing or risk
Quant finance principles
Bachelor's in a quantitative subject

Preferred

SQL and kdb
Master's in a relevant field
FX options or electronic pricing experience

Education: Bachelor's or equivalent in maths, physics, computer science or engineering; master's beneficial
Experience: Production quant software delivery; years not stated
Languages and tools: C++
Python
SQL
kdb
Markets: fx, options

How to prepare

Build a real-time FX option pricer with a smile model in C++ or Python
Study FX vol surface construction and quoting
Practise object-oriented design and testing for pricing code
Learn the basics of automated market making in options

What to study

The Volatility Quant roadmap sets out the stages for this kind of role, with free resources for each.

Open the roadmap

Apply

Read the full posting on Citi’s site before applying: requirements, location and pay can change after we check them.

View the posting on Citi’s site ↗

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.