Senior Options Quant (C++/Python)
Vola Dynamics is hiring for the role of a senior options quant. We are the leading software and research company for advanced options analytics (our volatility fitter, for example, is generally acknowledged to be the best in the industry). We are growing rapidly and our clients already include many of the world’s leading prop shops, hedge funds, banks and pension funds.
You will be working on cutting-edge problems in volatility modeling, options pricing and risk analysis, for vanillas and/or exotics, and implement your solutions in a modern C++/python library. Your PhD level research will have an immediate impact.
We believe that this is one of the most exciting opportunities in quantitative finance right now.
What You'll Need:
- PhD (preferred) or Masters degree in a hard science or mathematics.
- A proven record of independent research, modeling, software design and data analysis, either within academia or industry.
- Ability to take a problem from inception through mathematical modeling, algorithmic implementation, testing, and refinement to production.
- Significant experience in modern OO programming (or FP), ideally involving numerical algorithms in a large-scale, high-quality C++ library
- Thorough understanding of modern software engineering best practices: interfaces, modularity, version control, unit testing, documentation (OR: demonstrate the ability and willingness to acquire these skills quickly).
- Work independently or as part of a team.
- Common sense and (eagerness to acquire) domain knowledge; know when a pragmatic or a first-principle solution is required.
- Attention to detail and creativity; understand how to get to the bottom of complex problems efficiently.
- Data analysis skills and experience.
- Excellent verbal and written communication skills.
- Work authorization in the US (in the future we might have roles in e.g. Amsterdam, London, Dublin or Zurich; please let us know if you’re interested in those).
Nice To Have:
- Machine Learning experience, e.g. PIML (physics informed ML).
- Experience in options market making and (equity) exotics modeling.
- Experience in FX or IR derivative modeling.
- Experience with calibration and robust statistics problems.
- 3+ years of research involving advanced modeling, programming and data analysis as one would find in fields like mathematical finance, astrophysics, particle physics (lattice QCD, high-energy theory or phenomenology, etc), or similar fields.
- Experience with automating daily processes.
- Research publications in top peer-reviewed journals.
- PhD, postdoc or professorship at a top university.
We offer an excellent benefits package: medical, vision, dental, 401k.
The role is either in NYC or our new South Norwalk, CT, office, with partial WFH if desired.
Please understand that we can not respond to every application.