Quantitative Research Lead, Options Pricing and Volatility

Role Description

HAP Capital is seeking an experienced person to lead Options Pricing and Volatility Research in the Electronic Trading Strategies group. ETS focuses on identifying signals in the market and developing strategies to capture the opportunities these signals represent. As a Quantitative Research Lead, you will…

  • Own the business layer of the Theo-pricing Infrastructure, responsible for generating prices, and fitting volatility surfaces, across the entire U.S. Equity Options universe.
  • Research, model and inject alphas into pricing, working with senior traders and core engineers to derive and publish pricing with edge.
  • Integrate alphas into downstream electronic trading strategies, ensuring strategies are processing alphas effectively and intelligently.
Requirements
  • Graduate degree in Applied Math, Financial Engineering, Statistics/ML, or similar.
  • Advanced proficiency in C++.
  • Proficiency in advanced data research & modeling using Python.
  • Extensive knowledge and experience with high-volume, high-dimensional data modeling.
  • Demonstrable experience building and maintaining business layer of American options pricing at scale.
  • Understanding of software engineering principles and practice.
  • Minimum 7 years of experience.
Additional skills/experience that will reflect favorably
  • PhD in Applied Math, Financial Engineering, Statistics/ML, or similar.
  • Understanding of, and insights into market micro-structure.
  • Past or current employment at a sophisticated trading firm.

You must reference job code on your submission correspondence: ETS OQRL.

HAP CAPITAL | 395 Hudson Street | Suite 701 | New York, NY 10014 | (212) 380 5100
All Contents © 2010 HAP CAPITAL. All rights reserved.