Quant jobs / Citi

Quantitative Analyst – FX Options

A role in Citi's FX Quantitative Analysis Team, which supports the FX Options business with valuation models, pricing algorithms and data analysis. The work spans traders, structurers, sales and technology.

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.

Maintain and extend valuation models and pricing algorithms for FX options
Analyse trading and market data for the desk
Write Python and C++ code for pricing and risk
Track project work across teams and document it

What they ask for

Required

Maths or science background to master's level
Prior quant modelling or analytics experience
Programming, preferably Python and C++
Written and verbal communication
Organisation and ownership

Education: Maths or science background to master's level
Experience: Previous experience in a comparable quant modelling or analytics role
Languages and tools: Python
C++
Markets: fx, options

How to prepare

Implement Garman-Kohlhagen pricing and FX option Greeks
Study FX volatility smiles, risk reversals and butterflies
Learn the quoting conventions of FX options markets
Write clean, documented Python and C++ code

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.