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Exotic Options Quant

OptiverSydney, New South Wales, Australia · Posted 2 months ago
Full-time
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Description

WHO WE ARE

Optiver is a global market maker founded in Amsterdam, with offices in London, Chicago, Austin, New York, Sydney, Shanghai, Hong Kong, Singapore, Taipei and Mumbai. Established in 1986, today we are a leading liquidity provider, with close to 2,000 employees in offices around the world, united in our commitment to improve the market through competitive pricing, execution and risk management. By providing liquidity on multiple exchanges across the world in various financial instruments we participate in the safeguarding of healthy and efficient markets. We provide liquidity to financial markets using our own capital, at our own risk, trading a wide range of products: listed derivatives, cash equities, ETFs, bonds and foreign currencies.

Optiver’s Sydney office is one of the primary players within Asian markets, trading a range of products. Established in 1996, we're an active participant on the Hong Kong, Korea, Singapore, Taiwan and Japan exchanges, and act as Optiver’s APAC head office.

Financial models are ever-present components throughout the process of designing strategies and making trading decisions. Our traders, researchers, and developers combine to achieve our goal of improving the market. We now have an opening for an experienced Exotics Options Quant in our Research team to bridge the gap between the complex mathematical models and our systems.

WHO YOU ARE:

• You have a degree or PhD in Maths, Physics, or Engineering.
• You have a deep understanding of Options theory and Option pricing models.
• You have up to 5 years of working experience, with at least 2 years of experience developing Exotic Option pricing models.
• You have rich, demonstrable experience coding with C++. Your C++ is strong and you’re up to date with the latest language features.
• You’re experienced with Git and Linux.
• You have significant experience within the financial markets from a direct competitor or large global financial services organisation such as an investment bank.
• You’re very comfortable using Maths to solve problems and writing C++ code to develop your solutions.
• You’re pragmatic and results oriented. We’re not trying to get published or find the most elegant solution to our problems. We’re trying to be the best at something in a highly competitive, dynamic market.
• You have a wide understanding of technology and dev-driven components to developing option pricing models. You’re comfortable working with various trading systems.

WHAT YOU'LL DO:

You’ll work on practical pricing problems we are faced with, end-to-end in the options research team. For example, if we were to trade a new type of option our team would be responsible for:

• Developing a way of pricing this contract that integrates into our current stack, particularly our automated pricing and risk management frameworks
• Working out whether to extend our existing models or write an entirely new model
• Understanding and documenting any new risks
• Engaging with internal stakeholders through the technology, trading, and control departments to ensure a smooth roll-out
• You’ll look for deficiencies in our current models and critically analyse them with mathematical rigour.
• You’ll help maintain our pricing models and analysis tools.
• You’ll be working directly alongside other researchers, and closely with traders who are domain experts and will use your work in production.

WHAT YOU’LL GET:

You’ll join a culture of collaboration and excellence, where you’ll be surrounded by curious thinkers and creative problem solvers. Driven by a passion for continuous improvement, you’ll thrive in a supportive, high-performing environment alongside talented colleagues, working collectively to tackle some of the most complex problems in the financial markets. You will have access to a range of Optiver perks, including:

• A performance-based bonus structure unmatched anywhere in the industry. We combine our profits across desks, teams and offices into a global profit pool, fostering a truly collaborative environment.
• The chance to work alongside diverse and intelligent peers in a rewarding environment.
• Training, mentorship and personal development opportunities.
• Daily breakfast, lunch and an in-house barista.
• Gym membership plus weekly in-house chair massages.
• Regular social events, including a company trip every two years.
• Guided relocation, a competitive relocation package and visa sponsorship where necessary

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