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Quantitative Engineer – Exotic Equity Derivatives
Citi
hybridUSD 109,120 - 163,680 / year
New York, New York, United States Posted Aug 12, 2026
About this role
Quantitative Engineer – Exotic Equity Derivatives
Responsibilities
- Research and develop pricing models: Design and implement numerical pricing models for exotic equity derivatives, including Monte Carlo simulation engines and PDE solvers. Evaluate and select the most appropriate pricing model for each product, leveraging stochastic models such as Local Volatility and stochastic volatility frameworks, and implement them in the team’s C++ library.
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