Options Quant Researcher

Were looking for a Quant Researcher with hands-on experience applying volatility models in live trading in TradFi markets. 

We expect the candidate to:

• Have practical experience calibrating volatility surfaces on real market data
  • Including handling gaps latency issues and so on to effectively use realistic data available in the market
  • MFTish research is must. HFT is nice to have.
• Understand how to enforce smoothness arbitrage-free conditions and temporal stability
• Be able to tune and debug models under realistic market conditions  including bid/ask spreads noise and incomplete markets
• Design and implement logic for position-driven dynamic surface shaping including:
  • How current portfolio Greeks (vega gamma skew) should influence surface parameters such as skew curvature and wing behavior
  • Hands-on experience is required for dynamically adapting surface shape based on current exposure
• Ability to identify model and mitigate residual noise in implied volatility surfaces especially:
  • near expiry
  • around illiquid strikes
  • or in event-driven conditions.

Qualifications :

• Python (mandatory) with strong use of NumPy pandas matplotlib SciPy and relevant optimization/ML libraries
• Familiarity with standard quant libraries (QuantLib or custom volatility tools)
• PyTorch / TensorFlow experience (strongly preferred)
• Experience with NSE options and/or other TradFi derivatives with margin impact is a major plus.

Nice to Have:

• Familiarity with practical heuristics for surface management
• Working (not just academic) experience applying ML/DL models (e.g. PyTorch TensorFlow) to this problem
• Understanding of model explainability and risk of overfitting in execution-sensitive environments
• Direct experience in spot/futures vs. options arbitrage

Additional Information :

What we offer:

• Experience a modern international technology company without the burden of bureaucracy.

• Collaborate with industry-leading professionals including former employees of Tower DRW Broadridge Credit Suisse and more.

• Enjoy excellent opportunities for professional growth and self-realization.

• Work remotely from anywhere in the world with a flexible schedule.

• Receive compensation for health insurance sports activities and non-professional training.

Remote Work :

Yes

Employment Type :

Full-time

Experience: years
Vacancy: 1