Job Description

Duties: Apply mathematical theories and stochastic calculus techniques to develop, maintain and enhance computational models for the Flow Trading desks globally within the Rates Quantitative Analysis Group. Utilize numerical integration techniques including Gaussian quadtratures and numerical optimization algorithms including Quadratic Programming and Levenberg Marquardt algorithm to develop quantitative models. Enhance mathematical analytics to support flow trading transactions in various interest rate products, including Sovereign and Agency bonds, bond futures, total return swaps, interest rate swaps, and similar exchange traded and over-the-counter derivatives. Develop models and numerical analysis tools in C++ for interest rates derivative pricing using Libor Market model, yield curve models and complex stochastic volatility models including SABR. Collaborate with Model Validation department to validate quantitative models, with technology department to put models in production, with Financial Control department to verify model results, and with Market Risk department to assess the validity of model assumptions. Remote work may be permitted within a commutable distance from the worksite, in accordance with Citi policy.