Senior Quantitative Analyst – FX Options Electronic Pricing & Automation, Director

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.

• Design analytics libraries for FX options pricing and risk
• Run changes through testing, validation and deployment
• Manage pricing controls and parameters for live trading
• Work with traders, structurers and model validation

What they ask for

Required

• Significant experience delivering electronic or options pricing platforms
• Production software in modern C++ and Python
• Probability applied to complex instrument risk
• Full quant change lifecycle and model governance
• Cross-team communication
• Master's in a quantitative subject

Preferred

• Market making or options automation experience
• FX options and structured products
• Pricing controls and parameter management

Education

Master's in maths, physics, computer science, engineering or similar

Experience

Significant experience delivering electronic or options pricing platforms in front office

Languages and tools

• C++
• Python
• kdb
• SQL

Markets

fx, options

How to prepare

• Build an end-to-end FX option pricer with tests and a deployment pipeline
• Study FX volatility surfaces and how electronic quotes are generated
• Learn pricing control checks and how parameter errors are caught
• Practise explaining a model change to traders and validators

What to study

• Derivatives Pricing and Computational Finance
• Advanced Derivatives and Exotic Options
• Modern C++ for Quantitative Finance
• Professional Quant Practice

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.

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