Quantitative Researcher – Options & Volatility Modeling

Tradermath; Chicago (IL); Hybrid; USD 175,000 - 250,000; Full time

Benefits offered by this job

Medical Insurance

Dental Insurance

Vision Insurance

Disability Insurance

Life Insurance

Free meals on-site

Tuition Reimbursement

401(k) matching

Paid time off

Commuter benefits

Job summary

Old Mission, a global proprietary trading firm with a Chicago presence, seeks a Quantitative Researcher (Ph.D.) to join the options trading group. You will collaborate on pricing models and spearhead development of tools to price volatility-based derivatives across asset classes.

You will work with traders to analyze data, calibrate models, and contribute ideas to expand the quant team’s capabilities. Strong Python and C++ skills and a Ph.D. in a quantitative field are required.

Qualifications

• Masters or Ph.D. in a quantitative discipline such as computer science, engineering, physics, mathematics, statistics or other hard sciences.
• Proficient in derivatives and volatility modeling with calibration of forward curves and volatility surfaces.
• Must have programming skills in Python and C++.
• Strong written and verbal communication skills in a fast-paced environment.
• A team-oriented problem solver who thrives under pressure in financial markets.

Responsibilities

• Conceptualize and implement cutting-edge derivative pricing models for single-asset derivatives and equity volatility products.
• Evaluate existing options pricing models for calibration accuracy and Greeks stability; propose enhancements.
• Develop more resilient pricing models and improved volatility surface parameterizations.
• Develop options-specific research infrastructure and libraries in Python.
• Analyze market data and microstructure to identify patterns for trading ideas.
• Participate in ideas generation for options research and collaborate with traders.
• Collaborate with traders to analyze data and develop new tools to identify market patterns.

Skills

Python

C++

Communication skills

Education

Masters or Ph.D. in quantitative discipline

Job description

Old Mission, a global proprietary trading firm with a Chicago presence, seeks a Quantitative Researcher (Ph.D.) to join the options trading group. You will collaborate on pricing models and spearhead development of tools to price volatility-based derivatives across asset classes.

You will work with traders to analyze data, calibrate models, and contribute ideas to expand the quant team’s capabilities. Strong Python and C++ skills and a Ph.D. in a quantitative field are required.