Quantitative Researcher (PhD) — Options Pricing & Research

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

Benefits offered by this job

Medical insurance

Dental insurance

Vision insurance

Disability insurance

Life insurance

Tuition reimbursement

Job summary

Old Mission Capital seeks a Quantitative Researcher (Ph.D.) in Chicago to join the options research group. You will develop pricing models for volatility-based derivatives, calibrate models, and collaborate with traders to expand the quant team capabilities.

The role emphasizes building Python-based research infrastructure, analyzing market data, and contributing to ideas generation in a fast-paced environment.

Qualifications

• Masters or Ph.D. in a quantitative discipline (e.g., CS, engineering, physics, math, stats).
• Strong knowledge of derivatives and volatility modeling, pricing, calibration, and Greeks.
• Excellent programming skills in Python and C++.

Responsibilities

• Conceptualize and implement cutting-edge derivative pricing models for single-asset derivatives and volatility products.
• Evaluate existing pricing models for calibration accuracy and Greeks stability; propose improvements.
• Develop more resilient pricing models with advanced volatility surface parameterizations and data filtering rules.
• Build options research infrastructure and libraries in Python.
• Analyze market data and microstructure to identify trading ideas; support ideas generation.
• Collaborate with traders to analyze data and jointly develop new tools and ideas.
• Lead in expanding quant team capabilities for the options desk.

Skills

Quantitative modeling

Team collaboration

Communication skills

Education

Masters or Ph.D. in a quantitative discipline

Tools

Python

C++

Job description

Old Mission Capital seeks a Quantitative Researcher (Ph.D.) in Chicago to join the options research group. You will develop pricing models for volatility-based derivatives, calibrate models, and collaborate with traders to expand the quant team capabilities.

The role emphasizes building Python-based research infrastructure, analyzing market data, and contributing to ideas generation in a fast-paced environment.