Quantitative Developer - Derivatives

We’re looking for a Quantitative Developer - Derivatives to join our Chicago office.

At IMC, the Pricing and Risk (PAR) team owns the firm’s core quantitative library for live derivatives pricing and risk.

This library sits directly in the critical path of our HFT market making systems and serves as the real-time source of truth for valuation across all strategies.

It is both foundational and constantly evolving, with extremely high expectations for performance and correctness.

The platform runs at scale across thousands of servers and is developed collaboratively across desks and regions.

The team works closely with global counterparts to ensure consistency in how derivatives are modeled and priced across the firm.

Our primary focus is options and volatility modeling, alongside support for a broader set of asset classes including fixed income, ETFs, and FX.

This role sits at the intersection of quantitative modeling and high-performance engineering, similar to roles often titled Quant Developer or Strategist.

• Design and implement high-performance numerical algorithms for pricing and risk
• Build and improve models that reflect real market behavior, balancing accuracy, stability, and latency
• Own core components of the firm’s pricing library, from models to calculation graphs to central infrastructure
• Work closely with quants and engineers to ensure models are robust, explainable, and production-ready
• Contribute across the full lifecycle: research, implementation, validation, and performance optimization
• Write clean, maintainable production code in C++ and Java

• 5+ years of experience in a trading or financial environment working on pricing or risk systems
• Strong understanding of derivatives pricing, especially options and volatility