Quantitative Researcher (Experienced - Ph.D.) at Old Mission · Chicago

Summary: Old Mission is a global proprietary trading firm that leverages state-of-the-art technology and research to identify and execute profitable trading strategies. They are actively seeking a Quantitative Researcher (Ph.D.) to collaborate with the options trading group, enhancing pricing models and developing new tools for volatility-based derivatives across asset classes. 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 Qualifications: - 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, with an anticipated graduation date of December 2025 or May 2026 - 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 Required Skills: Derivatives modeling, Volatility modeling, Python programming, C++ programming Important Skills: Quantitative analysis Benefits: 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