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
Shift: Day Job
Employee Status: Regular
Travel Time: No
Job ID: 17024073
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.
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
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.)