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

Junior Quantitative Researcher (PhD.)