Vola Dynamics is the world's most sophisticated software and research company for advanced options analytics. Our volatility fitter and ultra-fast option pricers are the market standard, powering decisions at the world’s leading hedge funds, proprietary trading firms, market makers, and global banks.
In this role, you will research cutting-edge problems in volatility modeling and options valuation for both vanillas and exotics across all asset classes. You will implement your solutions in a modern C++ and Python library that is used by some of the most sophisticated market participants. As part of a rapidly growing team, your work will have an immediate and outsized impact.
We believe that this is one of the most exciting opportunities in quantitative finance right now.
Who You Are
You hold a PhD degree in a hard science or mathematics.
You have a proven track record of academic or professional research that used numerical algorithms, advanced modeling, or computational methods to solve challenging problems similar to what one might find in mathematical finance, astrophysics, particle physics, or similar fields.
You have significant experience using modern C++ to perform large-scale computational calculations, ideally in a high-quality C++ library or framework.
You have significant experience using the scientific Python stack (Matplotlib, NumPy, Jupyter, etc) to analyze and visualize research outputs (e.g. real world data, simulations).
You are a confident communicator, both verbally and in writing, who can independently produce excellent written documentation and clearly present research to fellow colleagues.
You have experience with modern software engineering best practices: interface design, version control, unit testing, documentation.
You may have prior industry experience in options market making or derivatives modeling (5 years or less) but this is not required.
You are authorized to work in the US.
Top Skills
What We Do
Super-fast, robust, and sensible analytics for options pricing (vanillas and vol derivatives), fitting volatility surfaces, risk, scenarios, and volatility dynamics.
There are high barriers to entry and large costs in maintaining a competitive options valuation infrastructure in this day and age. Only the largest and most sophisticated players currently have an edge in implying and managing accurate and robust borrow curves/forwards, and arbitrage-free volatility surfaces.
Not anymore: We offer cost-effective drop-in replacements with simple APIs for critical components of any options market participants’ pricing, fitting and risk infrastructure, for both vanilla options and vol derivatives. You concentrate on your edge.
Whether you are a high-frequency trader at a prop shop, a vanilla, flow or exotic trader at a bank or hedge fund, a risk manager, or involved in model validation, scenario analysis or margin calculations, we provide critical analytics to make your job simpler, faster, and better.
Our vol fitter is generally acknowledged to be the best in the industry. In particular, it produces easy-to-use, tradable volatility curves in real-time, that can match the most challenging markets in a bias- and arbitrage-free manner. Our intuitive parametric curves are the crucial ingredient in allowing efficient alpha research to disagree with the market.
Our clients range from low latency prop shops to hedge funds, banks, pension funds and other asset managers trading all global equity, futures and index options off our analytics. They have traded off Vola valuations and greeks even during challenging market conditions around Brexit, the US and French elections, the February 2018 volmageddon, and the 2020 coronavirus crash (when it was called a "godsend").
Contact us for details: [email protected]
