Quantitative Researcher- Equity Options

$350,000-$700,000 Total compensation

We are partnered with a top multi-strategy hedge fund that is looking to add headcount to one of their business units. The ideal candidate will ideally come from a background working with statistical arbitrage strategies with time horizons across minutes to hours or days to weeks.

This will have the longer term ability to move into a seat where you are running your own book of signals as a sub portfolio manager in the wider team.

Responsibilities:

• Improve real-time volatility fitting and options pricing
• Collaborate with other quantitative researchers and traders to optimize existing volatility fitting and pricing models
• Apply sophisticated statistical methods for volatility surface fitting and modeling
• Contribute from idea generation to production implementation of new volatility fitting models
• Evaluate predictive power of option theoretical prices and implied volatilities

Qualifications:

• 3 years of experience in a quantitative research role with a focus on options pricing, volatility surfaces and risk management
• Advanced degree (MS, PhD or equivalent) in a technical or quantitative discipline like Mathematics, Physics, Statistics, Finance, Engineering or Computer Science
• Expertise in detailed implementation of numerical pricing for American options
• Deep understanding of practical considerations on robust volatility fitting and options pricing
• Experience in equity derivatives including electronic option trading and strong knowledge and practice of options pricing models
• Ability to independently and creatively approach data analysis
• Experience in analyzing large (such as high frequency market data) and multi-faceted data sets using a modeling language like Python

If you have the experience listed above and are actively looking to work in the Boston area then please send me a resume at sebastian@delmarnord.com or apply directly to the above role.