Quantitative Researcher: 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, 1|

Disability, and Life Insurance

Free breakfast and lunch on-site

Job summary

Old Mission in Chicago is seeking a Quantitative Researcher (Ph.D.) to join our options research team. You will collaborate with traders to enhance pricing models for volatility-based derivatives across asset classes and drive the development of new tools.

The role emphasizes Python and C++ development, rigorous quantitative modeling, and productive collaboration under a fast-paced environment, with a competitive salary and comprehensive benefits.

Qualifications

• Must have a Masters or Ph.D. in a quantitative discipline, encompassing fields such as computer science, engineering, physics, mathematics, statistics, or other hard sciences.
• Proficient in derivatives and volatility modeling, including the construction and calibration of forward curves and volatility surfaces. Possess extensive knowledge of equity and index derivative products, including variance derivatives, VIX, and other related instruments. Experience with dividend swaps and futures is considered advantageous.
• Must have programming skills in Python and C++ are a prerequisite.
• Demonstrated exceptional written and verbal communication skills, with the ability to manage multiple tasks in a time-sensitive, collaborative, and fast-paced environment.
• A team-oriented problem solver with the capacity to thrive under pressure, exhibiting a genuine passion for the financial markets.
• Highly organized, detail-oriented, and adept at managing multiple work streams concurrently.
• Proven track record of trustworthiness and performance, consistently adhering to the highest ethical standards.

Responsibilities

• Conceptualize and implement cutting-edge derivative pricing models for single-asset derivatives, as well as pricing models for widely traded equity volatility products such as variance swaps, volatility swaps, and VIX options.
• Evaluate existing options pricing models, calibrating accuracy and Greeks stability; propose enhancements.
• Develop more resilient pricing models and parameterizations for volatility surface; design improved data filtering for calibration.
• Develop options research infrastructure and libraries in Python.
• Analyze market data and microstructure to identify patterns and trading ideas.
• Participate in ideas generation for options research and contribute insights.
• Collaborate with traders to analyze data and develop new tools and ideas.

Skills

Derivatives pricing

Volatility modeling

Data analysis

Communication

Education

Master's or Ph.D. in quantitative discipline

Tools

Python

C++

Job description

Old Mission in Chicago is seeking a Quantitative Researcher (Ph.D.) to join our options research team. You will collaborate with traders to enhance pricing models for volatility-based derivatives across asset classes and drive the development of new tools.

The role emphasizes Python and C++ development, rigorous quantitative modeling, and productive collaboration under a fast-paced environment, with a competitive salary and comprehensive benefits.