Citi C# Developer – FX Options Vol Generation & Pricing in Singapore, Singapore

  • Primary Location: Singapore,Singapore,Singapore

  • Other Location: Asia Pacific, Europe, Middle East, and Africa, Latin America; Canada

  • Education: Bachelor's Degree

  • Job Function: Technology

  • Schedule: Full-time

  • Shift: Day Job

  • Employee Status: Regular

  • Travel Time: No

  • Job ID: 17024073

Description

Job Background

Citi is a market leading FX Options market marker, servicing a broad and deep client base through its electronic trading platform, Velocity.

FXLM (Foreign Exchange and Local Market Rates) technology is seeking an experienced C# developer to join a 30 strong development organisation in Singapore. The group designs, builds, enhances and maintains a wide portfolio of software applications for the Foreign Exchange Derivatives business globally. This role is for an Applications Dev - Technical Specialist to work with the engineering team who owns FX price generation and distribution for FX Options globally, both internally and ext.

Job Description

In Citi FX Derivatives we are revolutionizing the technology platform for trading of FX Options. Our team is responsible for developing the pricing and dealing infrastructure for trading FX options, which involves complex and rich UI and a highly multithreaded and distributed server processes. There is a challenging combination of Derivatives business domain analysis, C# application development, and distributed architectural design. Our team in Singapore is growing rapidly and already has the largest proportion of developers in the global team. Singapore is the regional hub for the Asia FX Derivatives Business, with whom you will work closely. The primary responsibility is to design and develop the pricing and dealing infrastructure. This involves complex technical challenges, and a good understanding of the derivatives pricing models in order to integrate new models from the Quant Library.

We are seeking a developer to:

  • Design, implement and backtest FX options market making algorithms

  • Design and build tools and analytics for FX vol marking

Qualifications

We have flexibility over the seniority of the hire.

We are interested in candidates that match at least one of these profiles:

  • 5+ years strong programming experience in c#/.net

  • Relevant business experience for example commercial experience building market making algorithms, derivatives risk management, etc.

  • Strong academics - at least a master’s degree in a subject like quant finance or maths from a top university

All candidates are required to have:

  • Excellent verbal and written communication skills

  • Aptitude for math and algo design with ambition to develop these skills

  • Disciplined approach to development process with a focus on automated testing

These skills would be nice to have:

  • Python development especially with modules like numpy, scipy, numba, theano, etc.

  • c#/.net development especially multi-threading and UI design (in WPF or WinForms)

  • Data analysis and presentation skills (e.g. backtesting, data-mining, etc.)