Junior Quantitative Researcher: Options Pricing & Modeling

Old Mission; Illinois; On-site; USD 175,000 - 250,000; Full time

Benefits offered by this job

Fully paid Medical, Dental, Vision, & 

Disability & Life Insurance

Fully stocked kitchen

Tuition Reimbursement Program

401(k) with employer match

Paid Vacation, Sick, and Parental lets

Commuter and Flexible Spending

Job summary

Old Mission, a global proprietary trading firm with offices in Chicago, NY, and London, seeks a Junior Quantitative Researcher (Ph.D.) for its Chicago desk. You will enhance pricing models for volatility-based derivatives, develop Python tooling, and collaborate with traders to expand options research capabilities.

The role emphasizes strong quantitative training, expertise in forward curves and volatility surfaces, and programming in Python and C++.

Qualifications

• Must have a Masters or Ph.D. in a quantitative discipline, encompassing fields such as computer science, engineering, physics, mathematics, statistics, or other hard sciences, with an anticipated graduation date of Summer 2027.
• Proficient in derivatives and volatility modeling, including the construction and calibration of forward curves and volatility surfaces. Possess extensive knowledge of equity and index derivative products, including variance derivatives, VIX, and other related instruments. Experience with dividend swaps and futures is considered advantageous.
• Must have programming skills in Python and C++ are a prerequisite
• Demonstrated exceptional written and verbal communication skills, with the ability to manage multiple tasks in a time-sensitive, collaborative, and fast-paced environment.
• A team-oriented problem solver with the capacity to thrive under pressure, exhibiting a genuine passion for the financial markets.
• Highly organized, detail-oriented, and adept at managing multiple work streams concurrently.
• Proven track record of trustworthiness and performance, consistently adhering to the highest ethical standards.

Responsibilities

• Conceptualize and implement cutting-edge derivative pricing models for single-asset derivatives, as well as pricing models for widely traded equity volatility products such as variance swaps, volatility swaps, and VIX options.
• Evaluate existing options pricing models, scrutinizing aspects such as calibration accuracy and Greeks stability to identify any anomalies. Investigate and propose enhancements to address identified issues.
• Develop more resilient and stable alternative options pricing models, including exploring and suggesting new parameterizations for the volatility surface and designing improved filtering rules for market data quotes during calibration.
• Develop options specific research infrastructure and libraries in Python.
• Analyze market data and microstructure to identify patterns, facilitating the exploration of trading ideas.
• Actively participate in the idea generation process for options research, contributing insights and innovations.
• Collaborate closely with traders, engaging in the analysis of data and jointly developing new tools and ideas to identify patterns in the market.

Skills

Derivatives & volatility modeling

Python & C++ programming

Communication skills

Team collaboration

Attention to detail

Education

Masters or Ph.D. in quantitative discipline

Tools

Python

C++

Job description

Old Mission, a global proprietary trading firm with offices in Chicago, NY, and London, seeks a Junior Quantitative Researcher (Ph.D.) for its Chicago desk. You will enhance pricing models for volatility-based derivatives, develop Python tooling, and collaborate with traders to expand options research capabilities.

The role emphasizes strong quantitative training, expertise in forward curves and volatility surfaces, and programming in Python and C++.