Currently we're investigating a bug where the answers are not recorded properly. If you encounter this bug, please email us at rfqjobs@gmail.com.
Junior Quantitative Researcher (PhD.)
(more about Old Mission Capital)
This job posting has been archived.
Unfortunately Old Mission Capital has archived this job posting, they are no longer accepting applications.

Junior Quantitative Researcher (PhD.)

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, London, and Singapore are all composed of naturally-curious individuals who thrive in a team environment and constantly strive for improvement.

Old Mission does not seek capital from outside investors, allowing us the flexibility to aggressively invest in our team members and keep them engaged in the firm’s growth.

We are currently recruiting a lead/senior quantitative researcher to join our Chicago office. This lead/senior quantitative researcher will be working directly with our options trading group to review existing pricing models and develop next-generation models and tools to efficiently price volatility-based derivatives across a variety of asset classes. This lead/senior quantitative researcher will also participate in the idea generation process with respect to options research and will also potentially lead efforts to grow the quant team to expand the options desk’s capabilities.

Responsibilities: 

  • Review existing options pricing models, identify misbehavior (e.g.: accuracy of calibration, stability of Greeks, etc.) and be able to investigate them and propose improvements
  • Design and implement next-generation derivative pricing models for single asset derivatives and pricing models for widely traded equity volatility products (variance swaps, volatility swaps, VIX options)
  • Design and implement more robust and stable alternative options pricing models (e.g.: explore and propose new parameterization of the volatility surface, design more appropriate filtering rules for market data quotes input of the calibration, etc.)
  • Develop options specific research infrastructure and libraries in Python
  • Explore trading ideas by analyzing market data and market microstructure for patterns
  • Participate in the idea generation process with respect to options research
  • Collaborate and work directly with the traders on analyzing, developing new ideas/tools to analyze data for patterns

Required Skills: 

  • An advanced degree in a quantitative field such as computer science, engineering, mathematics, statistics, or one of the hard sciences.
  • 5+ years of experience within quantitative research in the options and/or cash equities space
  • Substantial experience with derivatives and volatility modelling, including forward curve and vol surface construction and calibration
  • Extensive knowledge about equity and index derivative products in particular, including variance derivatives, VIX and other derivatives. Experience with dividend swaps and futures is a plus
  • Programming skills in Python is a must and experience with C++, VBA, R, Matlab, Java would be a good compliment
  • Exceptional communication both written and verbal and have the ability to handle multiple tasks in a time sensitive, fast paced, collaborative, collegial environment
  • The ability to work and solve problems as part of a team, often in a high-pressure environment
  • Successful candidates will have a passion for the financial market, working with large amounts of data and are strategic thinkers. Must be organized and detail-oriented and have the ability to manage multiple work streams
  • Proven trustworthiness and performance under the highest ethical standards

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.