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 exp...