Quant Researcher, Options Pricing & Volatility (PhD)

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

Benefits offered by this job

Fully paid Medical, Dental, Vision, &

Disability, and Life Insurance

401(k) with employer match

Paid Vacation, Sick, and Parental leaf

Tuition Reimbursement Program

Commuter and Flexible Spending

Job summary

Old Mission Capital is a quantitative market-making firm that prices thousands of financial instruments globally. We seek a Quantitative Researcher (Ph.D.) in Chicago to collaborate with the options group and advance pricing models for volatility-based derivatives across asset classes.

You will develop models, calibrate forward curves and volatility surfaces, and contribute to research infrastructure in Python. Strong collaboration with traders and rigorous quantitative skills are essential.

Qualifications

• Must have a Masters or Ph.D. in a quantitative discipline.
• Proficient in derivatives and volatility modeling, including forward curves and volatility surfaces.
• Experience with dividend swaps and futures is advantageous.
• Must have programming skills in Python and C++.
• Strong written and verbal communication in a fast-paced environment.

Responsibilities

• Develop and implement cutting-edge derivative pricing models for single-asset derivatives and volatility products.
• Evaluate calibration accuracy and Greeks stability to identify anomalies and propose enhancements.
• Develop robust pricing models and parameterizations for volatility surfaces and data filtering rules.
• Build options research infrastructure and Python libraries.
• Analyze market data and microstructure to identify trading patterns.

Skills

Quant discipline

Python

C++

Derivatives pricing

Volatility modeling

Communication

Education

Master's or PhD in a quantitative field

Tools

Python

C++

Job description

Old Mission Capital is a quantitative market-making firm that prices thousands of financial instruments globally. We seek a Quantitative Researcher (Ph.D.) in Chicago to collaborate with the options group and advance pricing models for volatility-based derivatives across asset classes.

You will develop models, calibrate forward curves and volatility surfaces, and contribute to research infrastructure in Python. Strong collaboration with traders and rigorous quantitative skills are essential.