Quantitative Researcher, Derivatives & Options Pricing

Old Mission; Chicago (IL); Vor Ort; USD 175.000 - 250.000; Vollzeit

Benefits dieser Stelle

Fully paid Medical, Dental, Vision, &

Fully stocked kitchen; free breakfast

Tuition Reimbursement Program

401(k) with employer match

Paid Vacation, Sick, and Parental Leav

Commuter and Flexible Spending

Zusammenfassung

Old Mission is a global proprietary trading firm with offices in Chicago, New York, and London seeking a Quantitative Researcher (Ph.D.) for our Chicago team. You will enhance pricing models for volatility-based derivatives and develop advanced tools to support the options desk.

The role emphasizes collaboration with traders and researchers to generate ideas, improve calibration, and implement robust models. Strong programming in Python and C++ is essential in a fast-paced environment.

Qualifikationen

• Masters or Ph.D. in a quantitative discipline (e.g., CS, engineering, physics, maths).
• Proficient in derivatives and volatility modeling; pricing forward curves and vol surfaces; versed in variance derivatives and VIX.

Aufgaben

• Conceptualize and implement derivative pricing models for single-asset derivatives and volatility products.
• Evaluate pricing models for calibration accuracy and Greeks stability; propose enhancements.
• Develop robust alternative pricing models, volatility surface parameterizations, and data filtering rules.
• Build options research infrastructure and libraries in Python.
• Analyze market data and microstructure to identify trading ideas.
• Collaborate with traders to develop tools and insights for pattern detection.
• Lead in expanding the quant team capabilities for the options desk.

Kenntnisse

Python

C++

Quantitative modeling

Derivative pricing

Communication skills

Team collaboration

Ausbildung

Masters or PhD in quantitative discipline

Jobbeschreibung

Old Mission is a global proprietary trading firm with offices in Chicago, New York, and London seeking a Quantitative Researcher (Ph.D.) for our Chicago team. You will enhance pricing models for volatility-based derivatives and develop advanced tools to support the options desk.

The role emphasizes collaboration with traders and researchers to generate ideas, improve calibration, and implement robust models. Strong programming in Python and C++ is essential in a fast-paced environment.