Old Mission
Junior Quantitative Researcher (Ph.D.)
$175K–$250K
Chicago, IL · On-site · Full-time · Posted Dec 24, 2024
- Education
- Master’s or Ph.D. in a quantitative discipline; anticipated graduation date of Summer 2027.
About the job
Develop and improve options pricing models, research tools, and trading ideas focused on volatility-based derivatives across asset classes.
What you'll do
- Build and enhance pricing models for single-asset derivatives and equity volatility products, including variance swaps, volatility swaps, and VIX options.
- Assess model calibration and Greeks stability; develop improved models, volatility-surface parameterizations, and market-quote filtering rules.
- Build options research infrastructure and libraries in Python, analyze market data and microstructure, and collaborate with traders on research ideas.
What they ask for
- Master’s or Ph.D. in a quantitative discipline, with an anticipated graduation date of Summer 2027.
- Proficiency in derivatives and volatility modeling, including construction and calibration of forward curves and volatility surfaces; extensive knowledge of equity and index derivatives.
- Programming skills in Python and C++.
- Strong communication, collaboration, and organizational skills; ability to manage multiple tasks in a fast-paced environment.
Nice to have
- Experience with dividend swaps and futures.
Pay
$175,000 - $250,000 USD base salary
Tools
Python, C++
Model-written summary · the original posting is authoritative