Two Sigma is a financial sciences company, combining data analysis, invention, and rigorous inquiry to help solve the toughest challenges in investment management, insurance technology, securities, private equity, and venture capital.
Our team of scientists, technologists, and academics looks beyond the traditional to develop creative solutions to some of the world’s most complex economic problems.
Two Sigma Securities brings a scientific approach to systematic trading and risk management to make markets more efficient. Our team trades over 10,000 US equities and 4,000 listed options, leveraging our high performance trading system to execute over 850 million shares per day. Two Sigma Securities is entering an exciting growth phase. We value the insights of our colleagues and encourage them to innovate and shape their own work agenda. New joiners use our proprietary platform to work on diverse projects. From building next generation trading technologies and researching novel AI and machine learning techniques to enhancing our strategies and deploying automation, our team is pushing the frontier in systematic trading.
As an equity options quantitative researcher focused on volatility fitting and pricing you will be involved in applying sophisticated statistical and quantitative methods to generate robust option theoretical prices, Greeks and implied volatilities for US equity options.
You will take on the following responsibilities:
- Improve real-time volatility fitting and options pricing
- Collaborate with other quantitative researchers and traders to optimize existing volatility fitting and pricing models
- Apply sophisticated statistical methods for volatility surface fitting and modeling
- Contribute from idea generation to production implementation of new volatility fitting models
- Evaluate predictive power of option theoretical prices and implied volatilities
- Work closely with engineers to improve the simulation environment for repricing options and volatility fitting replay
- Mentor junior quantitative researchers
You should possess the following qualifications:
- 3+ years of experience in a quantitative research role with a focus on options pricing, volatility surfaces and risk management
- Advanced degree (MS, PhD or equivalent) in a technical or quantitative discipline like Mathematics, Physics, Statistics, Finance, Engineering or Computer Science
- Expertise in detailed implementation of numerical pricing for American options
- Deep understanding of practical considerations on robust volatility fitting and options pricing for options market making business decisions
- Experience in equity derivatives including electronic option trading and strong knowledge and practice of options pricing models
- Passion, interest and drive to take a leading role in a growing options market making business
- Ability to independently and creatively approach data analysis
- Strong verbal and written communication skills and a collaborative working style
- Experience in analyzing large (such as high frequency market data) and multi-faceted data sets using a modeling language like Python
- Experience in writing production code and familiarity with software engineering workflows and systems
- Relevant programming experience, preferably in C++