PhD Quant Researcher — Derivatives & Volatility

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

Benefits offered by this job

Medical, dental, vision insurance

On-site meals (breakfast/lunch)

Tuition reimbursement

401(k) with employer match

Paid vacation and parental leaves

Job summary

Old Mission, a global proprietary trading firm with Chicago roots, seeks a Junior Quantitative Researcher to join the options group in our Chicago office. You will contribute to pricing models, develop new tools, and help expand the quant team’s capabilities to drive the desk’s research efforts.

You have a strong academic background (MS/PhD in a quantitative field), are proficient in Python and C++, and thrive in a fast-paced, collaborative environment focused on innovation in volatility

Qualifications

• MS or PhD in a quantitative field (e.g., CS, engineering, physics, math, stats).
• Proficiency in derivatives and volatility modeling with pricing/calibration experience.
• Strong programming skills in Python and C++ and ability to build tools for research.

Responsibilities

• Conceptualize and implement pricing models for single-asset derivatives and volatility products.
• Evaluate existing pricing models for calibration accuracy and Greeks stability, proposing improvements.
• Develop more robust pricing models with new parameterizations for the volatility surface.
• Develop options research infrastructure and libraries in Python.
• Analyze market data and microstructure to identify patterns and trading ideas.
• Collaborate with traders to analyze data and develop new tools and ideas.

Skills

Python

C++

Derivatives pricing

Volatility modelling

Communication

Education

MS/PhD in a quantitative discipline

Job description

Old Mission, a global proprietary trading firm with Chicago roots, seeks a Junior Quantitative Researcher to join the options group in our Chicago office. You will contribute to pricing models, develop new tools, and help expand the quant team’s capabilities to drive the desk’s research efforts.

You have a strong academic background (MS/PhD in a quantitative field), are proficient in Python and C++, and thrive in a fast-paced, collaborative environment focused on innovation in volatility