Quant jobs / Old Mission

Quantitative Researcher (Experienced, Ph.D.) – Options

A research role working with Old Mission's options trading group in Chicago on volatility derivatives pricing. It includes room to help grow the options quant team.

What you’d work on

Our reading of the posting: what a new hire in this role would most likely spend their first months on.

Test existing options models for calibration accuracy and Greeks stability
Develop more stable volatility surface parameterisations
Design better filters for market quotes used in calibration
Build pricing models for variance swaps, volatility swaps and VIX options
Develop Python research libraries for options

What they ask for

Required

Masters or PhD in a quantitative field
Volatility modelling and forward curve and surface calibration
Equity and index derivatives, variance products and VIX
Python and C++
Communication
Working under time pressure

Preferred

Dividend swaps and futures

Education: Master's or PhD in computer science, engineering, physics, maths, statistics or another hard science
Experience: Experienced; specific years not stated
Languages and tools: Python
C++
Markets: options, equities

How to prepare

Calibrate a stochastic volatility model such as Heston to an option surface
Check Greeks stability under different surface fits
Price variance swaps and VIX options and compare models
Build a small Python library for surface fitting and diagnostics

What to study

The Volatility Quant roadmap sets out the stages for this kind of role, with free resources for each.

Open the roadmap

Apply

Read the full posting on Old Mission’s site before applying: requirements, location and pay can change after we check them.

View the posting on Old Mission’s site ↗

SelfMadeQuant wrote this summary from the employer’s public posting, last checked 6 November 2026. SelfMadeQuant isn’t affiliated with Old Mission and doesn’t handle applications.