Quantitative Researcher (Ph.D.) – 2027 Graduate Program – (August Start)

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

Benefits offered by this job

Fully paid Medical, Dental, Vision, &

Disability, and Life Insurance

401(k) with employer match

Paid Vacation, Sick, and Parental leaf

Tuition Reimbursement Program

Commuter and Flexible Spending

Job summary

Old Mission Capital is a quantitative market-making firm that prices thousands of financial instruments globally. We seek a Quantitative Researcher (Ph.D.) in Chicago to collaborate with the options group and advance pricing models for volatility-based derivatives across asset classes.

You will develop models, calibrate forward curves and volatility surfaces, and contribute to research infrastructure in Python. Strong collaboration with traders and rigorous quantitative skills are essential.

Qualifications

• Must have a Masters or Ph.D. in a quantitative discipline.
• Proficient in derivatives and volatility modeling, including forward curves and volatility surfaces.
• Experience with dividend swaps and futures is advantageous.
• Must have programming skills in Python and C++.
• Strong written and verbal communication in a fast-paced environment.

Responsibilities

• Develop and implement cutting-edge derivative pricing models for single-asset derivatives and volatility products.
• Evaluate calibration accuracy and Greeks stability to identify anomalies and propose enhancements.
• Develop robust pricing models and parameterizations for volatility surfaces and data filtering rules.
• Build options research infrastructure and Python libraries.
• Analyze market data and microstructure to identify trading patterns.

Skills

Quant discipline

Python

C++

Derivatives pricing

Volatility modeling

Communication

Education

Master's or PhD in a quantitative field

Tools

Python

C++

Job description

Old Mission is a global proprietary trading firm that leverages state-of-the-art technology and research to identify and execute profitable trading strategies across multiple asset classes around the world. Our offices in Chicago, New York, and London are all composed of naturally-curious individuals who thrive in a team environment and constantly strive for improvement.

About the Position

We are actively seeking a Quantitative Researcher (Ph.D.) to join our Chicago office. In this role, you will collaborate directly with our options trading group, contributing to the enhancement of existing pricing models, and spearheading the development of cutting-edge models and tools. The primary focus will be on efficiently pricing volatility-based derivatives across diverse asset classes. As a key member of the team, you will actively participate in the options research idea generation process and may also take the lead in expanding the capabilities of the quant team to further enhance the options desk.

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, scrutinizing aspects such as calibration accuracy and Greeks stability to identify any anomalies. Investigate and propose enhancements to address identified issues.

Develop more resilient and stable alternative options pricing models, including exploring and suggesting new parameterizations for the volatility surface and designing improved filtering rules for market data quotes during calibration.

Develop options specific research infrastructure and libraries in Python.

Analyze market data and microstructure to identify patterns, facilitating the exploration of trading ideas.

Actively participate in the idea generation process for options research, contributing insights and innovations.

Collaborate closely with traders, engaging in the analysis of data and jointly developing new tools and ideas to identify patterns in the market.

Required Skills

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.

Benefits and Perks

Fully paid Medical, Dental, Vision, Disability, and Life Insurance

Fully stocked kitchen; free breakfast and lunch every day on-site

Tuition Reimbursement Program

401(k) with employer match

Paid Vacation, Sick, and Parental leaves

Commuter and Flexible Spending Programs

Base Salary Range

$175,000 - $250,000 - Salaries are based on numerous factors such as skills, experience, and education. Our compensation package also includes a discretionary bonus and a comprehensive benefits program for full-time employees.

Old Mission is not accepting unsolicited resumes from any staffing/search firms. All resumes submitted by staffing/search firms to any employee at Old Mission via-email, the Internet or directly without a valid signed search agreement will be deemed the sole property of Old Mission, and no fee will be paid in the event the candidate is hired by Old Mission.

Old Mission Capital is a quantitative market-making firm founded in 2008. It prices "thousands of financial instruments globally" and has "traded trillions of dollars of securities using proprietary systems and…