Quantitative Researcher (Ph.D.) - 2027 Graduate Program - (August Start)

About the role

Quantitative Researcher joining Old Mission’s Chicago options trading group in the 2027 Graduate Program. The role focuses on pricing volatility-based derivatives, improving models, developing Python research infrastructure, analyzing market microstructure, and collaborating with traders to generate and evaluate options trading ideas.

Responsibilities

• Develop pricing models for single-asset derivatives, variance swaps, volatility swaps, and VIX options.
• Evaluate options models for calibration accuracy and Greeks stability, identifying anomalies and proposing enhancements.
• Create resilient pricing models, volatility-surface parameterizations, and improved market-data filtering rules.
• Build options-specific research infrastructure and libraries in Python.
• Analyze market data and microstructure to identify patterns and support trading ideas.
• Collaborate with traders on data analysis, research ideas, and new market tools.

Requirements

• Master’s or Ph.D. in computer science, engineering, physics, mathematics, statistics, or another quantitative discipline.
• Proficiency in derivatives and volatility modeling, including forward-curve and volatility-surface construction and calibration.
• Extensive knowledge of equity and index derivatives, including variance derivatives, VIX, and related instruments.
• Programming skills in Python and C++ are required.
• Strong communication, organization, problem-solving, and multitasking skills in collaborative, fast-paced environments.
• Passion for financial markets, ethical conduct, trustworthiness, and the ability to perform under pressure.

Preferred Experience

• Experience with dividend swaps and futures is advantageous.

Benefits

• Fully paid medical, dental, vision, disability, and life insurance.
• Free breakfast and lunch, plus a fully stocked kitchen onsite.
• Tuition reimbursement, 401(k) with employer match, and paid vacation, sick, and parental leave.
• Commuter and flexible spending programs.