Jobs

Quantitative Analyst - Numerical Performance Group


Job details
  • Citigroup Global Markets Limited
  • London
  • 4 days ago

We are looking to hire a Quant Analyst into the Numerical Performance Group. NPG is responsible for developing and deploying the core C++ library, roots, of common numerical functionality underlying the pricing libraries of all quant groups in Citi. The functionality in the roots library is designed and tuned for the fastest and most accurate performance on modern hardware. NPG also develops the

VAL library, the Vectorized Abstraction Layer, for hardware-agnostic, high-performance Monte Carlo and AGX for automatic graph execution.

NPG are part of Citi MQA (Markets Quant Analysis) team. We work closely with the quants developing the asset libraries as well as the traders addressing critical performance and stability issues.

What you will do will be varied day to day, but the key drivers for the role are:

  • Implementing numerical functionality for asset groups to take advantage of their domain-specific problem. This could be anything from a single numerical function through to entire numerical frameworks. Development and performance tuning is performed in C++ within the roots library and C++/CUDA within the VAL library.
  • Deployment of the new methods into asset class group libraries.
  • Performance tuning of asset libraries to speed up key product pricings and risk. This involves profiling asset libraries, identifying bottlenecks and vectorising or otherwise redesigning their implementations for fastest speed.
  • Developing long-term strategic initiatives to guide and help to migrate derivative pricing libraries into using highest performance hardware.



What we will need from you:

The ideal candidate will be proactive, self-motivated and a problem-solver and will have a strong numerate background.

Ideally, you will be able to demonstrate several of the following:

  • A strong C++ programmer with a keen attention to quality, stability and performance. Our development is primarily C++14/17 and CUDA. Knowledge of python or AAD is a plus.
  • Understands modern hardware and the impact on performance. Experience with and understanding of low-level optimisation (SIMD, vectorisation, cache behaviour) is beneficial.
  • A background in a Computational Mathematics area
  • Experience developing on both Windows and Linux
  • Have a track record of developing, implementing and tuning mathematical algorithms.
  • Knowledge of financial mathematics is a plus but is not essential.



It is expected that you will hold a higher degree in a numerate subject, e.g., a master's or PhD in Physics, Maths, Computer Science, Engineering etc.

We are happy to consider candidates from Associate through to VP.

What we will provide you:

By joining Citi London, you will not only be part of a business casual workplace with a hybrid working model (up to 2 days working at home per week), but also receive a competitive base salary (which is annually reviewed), and enjoy a whole host of additional benefits such as:

  • 27 days annual leave (plus bank holidays)
  • A discretional annual performance related bonus
  • Private Medical Care & Life Insurance
  • Employee Assistance Program
  • Pension Plan
  • Paid Parental Leave
  • Special discounts for employees, family, and friends
  • Access to an array of learning and development resources



Alongside these benefits Citi is committed to ensuring our workplace is where everyone feels comfortable coming to work as their whole self, every day. We want the best talent around the world to be energized to join us, motivated to stay, and empowered to thrive.

This job description provides a high-level review of the types of work performed. Other job-related duties may be assigned as required

Job Family Group:
Institutional Trading

Job Family:
Quantitative Analysis

Time Type:
Full time

Citi is an equal opportunity and affirmative action employer.

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.

Citigroup Inc. and its subsidiaries ("Citi") invite all qualified interested applicants to apply for career opportunities. If you are a person with a disability and need a reasonable accommodation to use our search tools and/or apply for a career opportunity reviewAccessibility at Citi.

View the "EEO is the Law" poster. View theEEO is the Law Supplement.

View theEEO Policy Statement.

View thePay Transparency Posting

Sign up for our newsletter

The latest news, articles, and resources, sent to your inbox weekly.

Similar Jobs

Quantitative Analyst

My client is a leading hedge fund looking to expand their office in London. The firm have a collaborative structure and are hiring Quantitative Analysts to work in a cross-functional role. This is an opportunity to work alongside senior quants in a market-facing position.Key Responsibilities:Cover live monitoring, optimization and improvement...

Anson McCade London

Quantitative Analyst – Research / Development – Python – Financial Markets

You will work closely with quantitative analysts and researchers to implementing quantitative research frameworks in Python, including integrating models, algorithms, analytics, and research tools.  This is ideally suited to someone with a background in portfolio construction, who has strong Python development skills, and is highly numerate, so can work with...

Alexander Ash Consulting London

Quantitative Analyst - Numerical Performance Group

We are looking to hire a Quant Analyst into the Numerical Performance Group. NPG is responsible for developing and deploying the core C++ library, roots, of common numerical functionality underlying the pricing libraries of all quant groups in Citi. The functionality in the roots library is designed and tuned for...

Citigroup Global Markets Limited London

Quantitative Analyst

Salary:Competitive per annum plus bonus and Veolia benefitsLocation:Hybrid - London/HomeWhen you see the world as we do, you see the chance to help the world take better care of its resources, and help it become a better place for everyone. It's why we're looking for someone who's just as committed...

Veolia London

Quantitative Analyst

DescriptionEnergy Aspects is seeking a Quantitative Analyst/Strategist to join our industry leading Quant Analytics team. The Quant Analytics service focuses on modelling market participants and financial flows in commodity and macro derivatives markets. This includes futures, options, and swaps, delivering deep insights to our clients into the drivers behind capital...

Energy Aspects London

Quantitative Analyst - Gas and Power

DescriptionEnergy Aspects is seeking a Quantitative Analyst/Strategist to join our industry leading Quant Analytics team. The Quant Analytics service focuses on modelling market participants and financial flows in commodity and macro derivatives markets. This includes futures, options, and swaps, delivering deep insights to our clients into the drivers behind capital...

Energy Aspects London