Trader, VP

Citigroup Global Markets Inc. seeks a Trader, VP for its New York, New York location.

Duties: Perform modeling, pricing and trading of derivative options. Evaluate fair values of various equity derivatives, including exotic options and structured variance swaps, and use analytical and Monte Carlo simulation models and market parameters for pricing. Analyze exotic derivatives structures and their dynamics throughout their lives in different market environments, and reflect them into pricing. Identify, determine and apply pertinent models, parameters and assumptions in pricing, calibrated based on observable market instruments. Leverage asset pricing to understand exotic derivatives pricing from a both qualitative and quantitative standpoint and to generate revenue for the firm by providing such pricing to the firm’s clients. Utilize Stochastic calculus and Partial differential equations to understand the dynamics behind every exotic product, draw the PnL Allocation and draw from risk variables informed trading decisions. Hedge various option risk greeks, including delta, gamma and vega, on a daily basis to manage the sensitivities to underlying price, volatility, interest rates, and foreign currencies. Use VBA, python and SQL to analyze massive risk data, build systematic strategies to hedge the risk and automate the existing processes. Anticipate and react to the dynamic nature of these derivatives in order to fully monetize the portfolio and avoid negative scenarios. Study the attribution of the risks into profit and loss of the portfolio, and position the firm’s risk to maximize expected profits while minimizing contingent losses. Optimize various trading and risk management related tasks using C++ programming and machine learning.  Drive automation initiatives to replace manual processes. Build direct connections to various internal APIs and to speed up pricing and risk management practices and reduce computer workload. A telecommuting/hybrid work schedule may be permitted within a commutable distance from the worksite, in accordance with Citi policies and protocols.

Requirements: Requires a Master’s degree, or foreign equivalent, in Finance, Financial Engineering, Economics, Mathematics or related field and 4 years of progressively responsible experience as an Equity Exotics Trader or related position involving modelling, pricing, and trading equity derivatives for a global financial services institution. Alternatively, employer will accept a Bachelor’s degree in the stated fields and 6 years of the specified progressive, post-baccalaureate experience. Full term of experience must include: Asset pricing; Stochastic calculus; Modelling, pricing, and trading equity derivatives; Partial differential equations;  Dynamic models control; Monte Carlo simulation models; C++, VBA, Python, SQL; Portfolio optimization. Up to 5% international and domestic travel required. Applicants submit resumes at https://jobs.citi.com/. Please reference Job ID #25828501. EO Employer.

Wage Range:                $250,000 to $250,000

Job Family Group:         Institutional Trading

Job Family:                   Trading

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In addition to salary, Citi’s offerings may also include, for eligible employees, discretionary and formulaic incentive and retention awards. Citi offers competitive employee benefits, including: medical, dental & vision coverage; 401(k); life, accident, and disability insurance; and wellness programs. Citi also offers paid time off packages, including planned time off (vacation), unplanned time off (sick leave), and paid holidays. For additional information regarding Citi employee benefits, please visit citibenefits.com. Available offerings may vary by jurisdiction, job level, and date of hire.

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Qualified applicants will receive consideration without regard to their race, color, religion, sex, sexual orientation, gender identity, national origin, disability, or status as a protected veteran.

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