workable
Quantitative Researcher - Pricing Model
Delta Exchange
Remote, IND
Full-time
Senior
Remote
Discovered 2 weeks ago
PythonNumPySciPyPandasC++
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Role Overview
We are looking for a Quantitative Analyst / Researcher to evaluate, test, and enhance our pricing models for plain vanilla perpetual swaps and options across crypto and equity tokens. You will stress-test model assumptions, evaluate risk under extreme market regimes, and build novel models from scratch. This role requires deep expertise in raw volatility pricing, proven model validation experience, and a first-principles approach to translating technical research into production-grade quantitative models.
Key Skills for This Role
PythonNumPySciPyPandasC++
Full Job Posting
Role Overview
We are looking for a Quantitative Analyst / Researcher to evaluate, test, and enhance our pricing models for plain vanilla perpetual swaps and options across crypto and equity tokens. You will stress-test model assumptions, evaluate risk under extreme market regimes, and build novel models from scratch. This role requires deep expertise in raw volatility pricing, proven model validation experience, and a first-principles approach to translating technical research into production-grade quantitative models.
Key Responsibilities
- Model Development & Optimization
- ● Enhance Existing Models: Test, benchmark, and improve current pricing models for plain vanilla perps and options (crypto & equity tokens).
- ● Build from Scratch: Design and prototype novel mathematical models for new derivative instruments and tokenized structures.
- ● Test Core Assumptions: Deeply audit, challenge, and empirically test underlying model assumptions against live 24/7 market data.
- Model Risk & Validation
- ● Validation & Governance: Perform end-to-end model validation, identifying edge cases, structural limitations, and failure points.
- ● Risk & Stress Testing: Evaluate model performance, greeks (delta, gamma, vega), and liquidity exposure under extreme market scenarios and tail-risk events.
- Quantitative Research & Volatility
- ● Volatility Analytics: Calibrate and maintain raw volatility pricing, implied volatility surfaces, skew/smile dynamics, and funding rate models.
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