Old Mission seeks to enhance its options trading group by developing cutting-edge models and tools for efficiently pricing volatility-based derivatives across diverse asset classes.
Requirements
- Proficient in derivatives and volatility modeling, including the construction and calibration of forward curves and volatility surfaces.
- Extensive knowledge of equity and index derivative products, including variance derivatives, VIX, and other related instruments.
- Essential programming skills in Python.
- Familiarity with C++, VBA, R, Matlab, and Java would be beneficial.
- Experience with dividend swaps and futures is considered advantageous.
- Currently pursuing a Ph.D. in a quantitative discipline, encompassing fields such as computer science, engineering, physics, mathematics, statistics, or other hard sciences.
- Proven track record of trustworthiness and performance, consistently adhering to the highest ethical standards.
Responsibilities
- 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.
- 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.
Other
- 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.
- Currently pursuing a Ph.D. in a quantitative discipline, with an anticipated graduation date of Summer 2024 or earlier.
