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Commodities Quantitative Analyst - Houston

Citi is an American multinational investment bank and financial services corporation headquartered in New York City, NY.

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Commodities Quantitative Analyst - Houston

The Markets Quantitative Analysis (MQA) team is looking for a Commodities Quantitative Analyst to join the front office Commodities Quant team based in Houston, Texas (USA). The role uses a variety of modeling and pricing techniques to capture and analyze the wide variety of dynamics found in the commodities markets, as well as developing cutting edge solutions to allow the business to grow and adapt through changing market conditions. This role will primarily cover the North American power and gas markets, with emphasis on physical power and gas expansion, as well as structured products and derivatives pricing modelling.

Responsibilities:

- Create, implement and support quantitative models for the power and gas trading business, leveraging a wide variety of mathematical and computer science methods and tools including hardware acceleration, advanced calculus, development including C++, Python, mathematical finance/ programming and statistics and probability

- Work closely with Structuring, Origination and Trading teams on pricing and development of hedging and risk managements strategies for structured options portfolios, as well as onboarding of new products.

- Contribute to the enhancement of the analytics pricing library and work on cross-asset derivatives pricing projects, such as oil, metals, ags and commodities indices.

- Work in close partnership with control functions such as Legal, Compliance, Market and Credit Risk, Audit, Finance and Model Validation in order to ensure appropriate governance and control infrastructure.

Qualifications:

- 3-7 years of experience in a comparable quantitative modeling or analytics role, ideally with exposure on power and gas.

- Familiarity with structured products (revenue puts, heat rate call options, load, battery, etc.) and fundamental modeling within the power and gas space is a plus.

- Must have technical/programming skills; C++, python; Exposure to Market Data; Statistics and Probability based calculations; Using probability theory to evaluate the risks of complex financial instruments, solve analytical equations and design numerical schemes to analyze complex contracts; and Software design and principles.

- Must also possess any level of product knowledge, Investments and Quantitative Methods.

- Consistently demonstrates clear and concise written and verbal communication skills

- Ideal candidate will be very hands-on with coding and modeling while staying commercially focused and business driven.

Education:

- PhD, Master’s degree.

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Job Family Group:

Institutional Trading

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Job Family:

Quantitative Analysis

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Time Type:

Full time

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Primary Location:

Houston Texas United States

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Primary Location Salary Range:

$175,000.00 - $250,000.00

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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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