Quantitative Researcher — Options Pricing & Volatility Modeling

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

Benefits offered by this job

Medical insurance

Dental insurance

Vision insurance

Life insurance

Disability insurance

401(k) with match

Paid vacation/sick/parental leaves

Commuter benefits

Flexible spending program

Job summary

Old Mission, a global proprietary trading firm, seeks a Quantitative Researcher (Ph.D.) for our Chicago office. You will collaborate with the options group to enhance pricing models and lead development of advanced models and tools focused on volatility derivatives across asset classes.

You will work with traders to test ideas, calibrate models, and contribute to the research infrastructure and data-driven decision making in a fast-paced market environment.

Qualifications

• Ph.D. or Masters in a quantitative field (CS, engineering, physics, mathematics, statistics or equivalent).
• Strong background in derivatives pricing and volatility modeling with forward curves and volatility surfaces.
• Excellent written and verbal communication; able to manage multiple tasks in a fast-paced environment.

Responsibilities

• Conceptualize and implement advanced derivative pricing models for single-asset derivatives and volatility products.
• Evaluate existing pricing models for calibration accuracy and Greeks stability; propose improvements.
• Develop resilient pricing models with improved volatility surface parameterizations and better market data filtering.
• 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.
• Lead idea generation for options research and expand quant team capabilities.

Skills

Python

C++

Derivatives pricing

Volatility modeling

Quantitative analysis

Communication

Team collaboration

Education

Masters or PhD in quantitative discipline

Tools

Python

C++

Pandas

Job description

Old Mission, a global proprietary trading firm, seeks a Quantitative Researcher (Ph.D.) for our Chicago office. You will collaborate with the options group to enhance pricing models and lead development of advanced models and tools focused on volatility derivatives across asset classes.

You will work with traders to test ideas, calibrate models, and contribute to the research infrastructure and data-driven decision making in a fast-paced market environment.