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Quantitative Researcher, Equity Vol

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Job Location
London
Employment Type
Regular
Department
Technology
Targeted Start Date
Immediate

DRW is a technology-driven, diversified principal trading firm. We trade our own capital at our own risk, across a broad range of asset classes, instruments and strategies, in financial markets around the world. As the markets have evolved over the past 25 years, so has DRW – maximizing opportunities to include real estate, cryptoassets and venture capital. With over 1000 employees at our Chicago headquarters and offices around the world, we work together to solve complex problems, challenge consensus and deliver meaningful results. It’s a place of high expectations, deep curiosity and thoughtful collaboration.

Our European Equity Vol desk is searching for an exceptional Quantitative Researcher to join their growing team.   This is an opportunity to join a dynamic and versatile risk-taking desk with a strong computational and technology platform on which to run the models you will help to develop. This role presents a unique opportunity to work on cutting edge models and see them deployed in production, getting feedback from their results in a short time frame.

Responsibilities

  • Working with the lead Quant to develop and maintain automated options pricing models
  • Analyzing large data sets produced by the desk’s pricing and execution systems and backtesting new models
  • Partnering with traders in real-time and incorporating feedback into the research process
  • Developing innovative approaches to risk calculation and visualizing their output for use by traders
  • Participating in the Intern and Grad hiring programs for Quant Research

Requirements

  • 2-5 years of experience in pricing derivatives and modelling their risks
  • A Master’s or PhD in a relevant quantitative field such as pure or applied mathematics, physics, operations research or statistics
  • A strong command of the existing options pricing literature, including the ability to apply stochastic calculus and Monte Carlo simulation techniques to pricing problems. 
  • Exceptional mathematical ability, ideally with a focus in stochastic calculus and econometrics
  • Deep understanding of options pricing, greeks, and slide computations
  • Proficiency in programming languages such as C++/Java/Python and statistical packages such as R and Matlab
  • Ability to explain complex mathematical concepts in an intuitive way to traders
  • A can-do attitude with an iterative mindset for solving math problems focused on getting practical results fast

 

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