Options & Volatility Quant Researcher (PhD)

Old Mission; Chicago (IL); On-site; USD 175,000 - 250,000; Full time

Benefits offered by this job

Medical insurance

Dental insurance

Vision insurance

Disability insurance

Life insurance

On-site meals

Tuition reimbursement

401(k) match

Paid vacation

Sick leave

Parental leave

Commuter benefits

FSAs

Job summary

Old Mission is seeking a Quantitative Researcher (Ph.D.) to join our Chicago office. You will collaborate with the options trading group to enhance pricing models and develop cutting-edge tools, focusing on volatility-based derivatives.

You will work closely with traders and researchers to calibrate models, improve Greeks stability, and explore new parameterizations for the volatility surface, while building Python-based research infrastructure.

Qualifications

• Masters or Ph.D. in a quantitative field (e.g., CS, engineering, physics, mathematics, statistics).
• Proficient in derivatives and volatility modeling, including forward curves and volatility surfaces.
• Must have programming skills in Python and C++.
• Strong written and verbal communication, with ability to manage multiple tasks in a fast-paced environment.
• Team-oriented problem solver who thrives under pressure with a passion for financial markets.
• Highly organized and able to manage multiple work streams concurrently.
• Proven track record of trustworthiness and ethical standards.

Responsibilities

• Develop cutting-edge derivative pricing models for single-asset derivatives and volatility products.
• Evaluate and enhance existing pricing models, ensuring calibration accuracy and stable Greeks.
• Develop robust option pricing models and improve volatility surface parameterizations.
• Build options research infrastructure and libraries in Python.
• Analyze market data and microstructure to identify trading ideas.
• Collaborate with traders to develop new tools and identify market patterns.
• Lead collaboration with the team to expand options research capabilities.

Skills

Quantitative reasoning

Team collaboration

Communication

Education

Masters or Ph.D. in quantitative discipline

Tools

Python

C++

Job description

Old Mission is seeking a Quantitative Researcher (Ph.D.) to join our Chicago office. You will collaborate with the options trading group to enhance pricing models and develop cutting-edge tools, focusing on volatility-based derivatives.

You will work closely with traders and researchers to calibrate models, improve Greeks stability, and explore new parameterizations for the volatility surface, while building Python-based research infrastructure.