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Job Overview
We are seeking an experienced Quantitative Developer to join the Numerical Performance Group (NPG), a central specialist team within Citi's Markets Quantitative Analysis (MQA) organisation.

NPG designs, develops, and deploys roots , Citi's core high-performance C++ numerical library. The roots library underpins pricing and risk infrastructure used across multiple asset-class quantitative teams and is engineered for maximum accuracy and performance on modern hardware.
The team works closely with front-office quantitative groups and trading desks, tackling critical performance, scalability, and stability challenges across Citi's derivatives pricing stack.

Responsibilities

• Design, develop, and enhance quantitative libraries used for pricing and risk management
• Create, implement, and support quantitative models for the trading business using advanced mathematical and computational techniques
• Apply high-performance computing methods, including hardware acceleration and low-level optimisation
• Develop pricing models using numerical techniques such as Monte Carlo methods and partial differential equation (PDE) solvers
• Work with technologies including C++, CUDA, Python, and adjoint algorithmic differentiation (AAD)
• Contribute to the technical direction of the group, mentor junior team members, and collaborate closely with quant teams across asset classes

Skills and Experience

• Proven experience in a high-performance computing or numerical software role
  (experience outside of finance will be considered)
• Strong programming skills in C++; experience with CUDA and Python preferred
• Excellent background in computational mathematics, numerical analysis, or a related quantitative discipline
• Demonstrated ability to design, implement, and optimise complex mathematical algorithms for performance-critical applications
• Solid understanding of Adjoint Algorithmic Differentiation (AAD) concepts; hands-on experience with AAD tools is highly desirable
• Deep practical knowledge of low-level optimisation techniques, including SIMD intrinsics, auto-vectorisation, cache behaviour, and memory access patterns
• Strong understanding of modern hardware architectures and their impact on computational performance
• Experience developing and optimising software on both Windows and Linux
• Clear, concise written and verbal communication skills, with the ability to collaborate effectively across teams

Education
Candidates should hold a postgraduate degree in a numerate discipline such as Mathematics, Physics, Computer Science, Engineering, or a related field.

Given the seniority and specialist nature of the role, a PhD is strongly preferred.

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Job Family Group:
Institutional Trading ------------------------------------------------------

Job Family:
Quantitative Analysis ------------------------------------------------------

Time Type:
Full time ------------------------------------------------------

Most Relevant Skills
Please see the requirements listed above.------------------------------------------------------

Other Relevant Skills
For complementary skills, please see above and/or contact the recruiter.------------------------------------------------------
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