- Company Name
- AEJ Consulting Ltd
- Job Title
- Quantitative Researcher
- Job Description
-
Job Title: Quantitative Researcher
Role Summary:
Develop and implement sophisticated volatility models and market‑making strategies for an options desk across multiple asset classes, translating research into production systems and optimizing liquidity provision and risk‑adjusted returns.
Expactations:
- Deliver new volatility modeling solutions that outperform existing benchmarks.
- Publish findings, contribute to firm‑wide quantitative culture, and mentor junior staff.
- Stay ahead of academic and industry developments to keep strategic advantage.
Key Responsibilities:
- Lead R&D of advanced volatility frameworks (SABR, Heston, SVI, GARCH, rough volatility) for implied volatility surfaces, term structures, and skew/smile dynamics.
- Design, calibrate, and backtest pricing engines, risk models, and market‑making algorithms incorporating inventory, hedging, flow dynamics, and real‑time P&L attribution.
- Analyze large options chains, order‑flow, microstructure, and cross‑asset data to uncover edges and refine quoting strategies.
- Translate research outputs into live production code alongside traders, quant developers, and leadership.
- Build and maintain internal libraries for volatility forecasting, scenario analysis, and stress testing.
- Monitor and pilot machine‑learning and other innovative techniques.
- Mentor junior researchers and support the firm‑wide quant culture.
Required Skills:
- PhD or MSc in Quantitative Finance, Mathematics, Physics, Statistics, or related field.
- 4+ years of hands‑on options research, preferably in market making, prop trading, or hedge‑fund environments.
- Expertise in building custom volatility models from first principles; strong calibration and dynamic evolution skills.
- Proficiency in Python (pandas, NumPy, SciPy, scikit‑learn); C++, Rust, or Julia experience preferred.
- Deep understanding of implied vs. realized volatility, Greeks hedging, inventory risk, and cross‑asset correlations.
- Solid statistical, time‑series, and ML knowledge applied to financial markets.
- Excellent communication skills for stakeholder interaction.
Required Education & Certifications:
- PhD or MSc in a quantitative discipline (Finance, Mathematics, Physics, Statistics, etc.).
- None of the listed certifications required, but knowledge of derivatives regulation (MiFID II, EMIR) is a plus.