Quantitative Researcher - Options & Volatility Modeling

Trading Interview; Chicago, Northern (IL, KY); Hybrid; USD 175,000 - 250,000; Full time

Benefits offered by this job

Medical, Dental, Vision, Disability, &

Breakfast and lunch on-site

401(k) with employer match

Tuition reimbursement

Paid vacation, sick, parental leaves

Commuter benefits

Job summary

Old Mission Capital, a global proprietary trading firm, is seeking a Quantitative Researcher (Ph.D.) in Chicago to join the options research team. You will help enhance pricing models and develop cutting-edge tools for pricing volatility-based derivatives across asset classes.

The role involves collaborating with traders, expanding quant capabilities, and delivering robust research infrastructure in Python and C++.

Qualifications

• Must have a Masters or Ph.D. in a quantitative discipline (e.g., CS, engineering, physics, math, statistics).
• Proficient in derivatives and volatility modeling, including forward curves and volatility surfaces; knowledge of variance derivatives, VIX, dividends, and futures is advantageous.
• Strong programming skills in Python and C++; excellent written and verbal communication; able to manage multiple tasks in a fast-paced environment.

Responsibilities

• Conceptualize and implement cutting-edge derivative pricing models for single-asset derivatives and volatility products such as variance swaps, volatility swaps, and VIX options.
• Evaluate and improve pricing models, focusing on calibration accuracy and Greeks stability; propose enhancements to address issues.
• Develop more robust pricing models, new parameterizations for the volatility surface, and improved data filtering during calibration.
• Build options research infrastructure and libraries in Python.
• Analyze market data and microstructure to identify trading ideas and patterns.
• Contribute to options research idea generation and collaborate with traders to develop new tools.
• Collaborate with traders to analyze data and jointly identify market patterns and opportunities.

Skills

Python

C++

Derivatives & volatility modeling

Education

Masters or PhD in quantitative discipline

Tools

Python

C++

Job description

Old Mission Capital, a global proprietary trading firm, is seeking a Quantitative Researcher (Ph.D.) in Chicago to join the options research team. You will help enhance pricing models and develop cutting-edge tools for pricing volatility-based derivatives across asset classes.

The role involves collaborating with traders, expanding quant capabilities, and delivering robust research infrastructure in Python and C++.