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Junior Quantitative Researcher (PhD.)

Old Mission Capital
Junior Quantitative Researcher (PhD.)
Chicago, US
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Job Description

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, and London 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.

About the position

We are actively seeking a Quantitative Researcher (Ph.D.) to join our Chicago office. In this role, you will collaborate directly with our options trading group, contributing to the enhancement of existing pricing models, and spearheading the development of cutting-edge models and tools. The primary focus will be on efficiently pricing volatility-based derivatives across diverse asset classes. As a key member of the team, you will actively participate in the options research idea generation process and may also take the lead in expanding the capabilities of the quant team to further enhance the options desk.


  • 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 Skills

  • Currently pursuing a 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 2024 or earlier
  • 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.
  • Essential programming skills in Python are a prerequisite, and familiarity with C++, VBA, R, Matlab, and Java would be beneficial
  • 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

Benefits and Perks

  • Competitive salary with discretionary annual bonus
  • 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
  • Flexible Spending Plan
  • Commuter Benefit Program

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.

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