Old Mission ยท 4 months ago
Junior Quantitative Researcher (Ph.D.)
Chicago, IL, United States
Full-time
Onsite
New Grad, Entry Level
$150K/yr - $225K/yrOld Mission Capital is a global proprietary trading firm that leverages state-of-the-art technology and research to execute profitable trading strategies. They are seeking a Junior Quantitative Researcher (Ph.D.) to enhance existing pricing models and develop new tools for pricing volatility-based derivatives across multiple asset classes.
Financial ServicesSoftware
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. 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
Qualification
Required
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 2025 or in Q1 2026
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
Essential programming skills in Python 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
Preferred
Experience with dividend swaps and futures is considered advantageous
Familiarity with C++, VBA, R, Matlab, and Java would be beneficial
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
Company
Old Mission
Old Mission is a global, multi-asset market maker.
Founded in 2008
201-500 employees
H1B Sponsorship
Old Mission has a track record of offering H1B sponsorships. Please note that this does not
guarantee sponsorship for this specific role. Below presents additional info for your
reference. (Data Powered by US Department of Labor)
Distribution of Different Job Fields Receiving Sponsorship
Represents job field similar to this job
Trends of Total Sponsorships
2025 (3)
2024 (7)
2023 (5)
2022 (5)
2021 (4)
Funding
Current Stage
Growth StageLeadership Team
Bryan Russina
CTO at Old Mission
Erica Marquez Avitia
Chief Operating Officer
Company data provided by crunchbase