Quantitative analysis · Foreign exchange

You build the maths and code that foreign exchange options traders use to price trades and measure their risk. This is a quant seat in Citi's FX Quantitative Analysis Team, which supports the FX Options business within Citi Markets.

An FX option is a contract that gives the buyer the right, but not the duty, to swap one currency for another at a set rate on a set date. Companies and investors buy them to protect themselves against moves in exchange rates. A quant writes the models that say what each option is worth and how that value changes when markets move.