Quantitative Researcher: Cutting-Edge Options Pricing & Volatility

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

Benefits offered by this job

Fully paid Medical, Dental, Vision, &

Fully stocked kitchen; free breakfast,

Job summary

Old Mission, a global proprietary trading firm, seeks a Quantitative Researcher (Ph.D.) to join its Chicago office. You will collaborate with our options trading group, improving pricing models and leading the development of new models and tools for pricing volatility-based derivatives across asset classes.

The role emphasizes model calibration, Greeks stability, and building Python-based research infrastructure, while partnering with traders to explore ideas and patterns in market data.

Qualifications

• Masters or Ph.D. in a quantitative discipline.
• Proficient in derivatives and volatility modeling with forward curves and volatility surfaces.
• Programming skills in Python and C++.
• Strong written and verbal communication; ability to handle multiple tasks in a time-sensitive environment.
• Team-oriented problem solver who thrives under pressure and is highly organized.

Responsibilities

• Develop and implement cutting-edge derivative pricing models for single-asset derivatives and volatility products.
• Evaluate pricing models, calibration accuracy, and Greeks stability; identify issues and propose improvements.
• Create more resilient pricing models and explore 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.
• Participate in options research idea generation and collaborate with traders to develop new tools.
• Collaborate with traders to analyze data and jointly develop new patterns and ideas in the market.

Skills

Python

C++

Quantitative modeling

Derivative pricing

Communication skills

Team player

Education

Masters or Ph.D. in a quantitative discipline

Tools

Python programming

C++ programming

Job description

Old Mission, a global proprietary trading firm, seeks a Quantitative Researcher (Ph.D.) to join its Chicago office. You will collaborate with our options trading group, improving pricing models and leading the development of new models and tools for pricing volatility-based derivatives across asset classes.

The role emphasizes model calibration, Greeks stability, and building Python-based research infrastructure, while partnering with traders to explore ideas and patterns in market data.