Junior Quantitative Researcher (Ph.D.)

Old Mission is hiring a Junior Quantitative Researcher to work with its options trading group. The role focuses on improving and developing pricing models and research tools for volatility-based derivatives, analyzing market data, and collaborating with traders on options research and trading ideas.

What you'll do:

• 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

What they're looking for:

• 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 Summer 2027
• 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
• 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
• Experience with dividend swaps and futures is considered advantageous

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
• Discretionary bonus for full-time employees