PhD Quantitative Researcher — Options & Volatility Modeling

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

Benefits offered by this job

Fully paid Medical, Dental, Vision, &

Discretionary bonus

401(k) with employer match

Job summary

Old Mission is seeking a Quantitative Researcher (Ph.D.) to join the Chicago office, collaborating with the options trading group to develop and enhance pricing models for volatility-based derivatives. The role emphasizes building models, tools, and infrastructure to support the options desk.

The candidate will calibrate models, improve pricing accuracy, and work closely with traders to explore new ideas, leveraging a strong academic background and programming expertise in Python and C++.

Qualifications

• Must have a Masters or Ph.D. in a quantitative discipline (e.g., CS, physics, math, statistics).
• Proficient in derivatives and volatility modeling, including pricing models and calibration.
• Programming skills in Python and C++ are required.
• Strong written/verbal communication; ability to work in a fast-paced, collaborative environment.

Responsibilities

• Conceptualize and implement derivative pricing models for single-asset derivatives and volatility products.
• Evaluate pricing models, calibration accuracy, and Greeks stability; propose improvements.
• Develop robust pricing models for volatility surfaces and filtering rules for market data during calibration.
• Build options research infrastructure and libraries in Python.
• Analyze market data and microstructure to identify trading ideas.
• Collaborate with traders to analyze data and develop new tools and ideas.

Skills

Python

C++

Derivatives

Volatility modeling

Quant research

Communication

Education

Masters/PhD in quantitative field

Tools

Python

C++

Job description

Old Mission is seeking a Quantitative Researcher (Ph.D.) to join the Chicago office, collaborating with the options trading group to develop and enhance pricing models for volatility-based derivatives. The role emphasizes building models, tools, and infrastructure to support the options desk.

The candidate will calibrate models, improve pricing accuracy, and work closely with traders to explore new ideas, leveraging a strong academic background and programming expertise in Python and C++.