9 days ago
Base Salary
$175k - $250k/yr
Responsibilities
- Design and implement high-performance numerical algorithms for derivatives pricing and risk.
- Build and improve options, volatility, and other asset-class models that balance accuracy, stability, and latency.
- Own core pricing-library components, including models, calculation graphs, and central infrastructure.
- Collaborate with quants and engineers to make models robust, explainable, and production-ready.
- Contribute across research, implementation, validation, and performance optimization.
- Write clean, maintainable production code in C++ and Java.
Requirements
- At least 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.
- Background in mathematics, physics, computer science, or a related quantitative field.
- Extensive C++ and/or Java experience building production systems.
- Experience collaborating with quants, traders, or similarly technical stakeholders.
- Ability to translate quantitative models into reliable, scalable systems.
- Experience with PDE methods or other advanced numerical techniques is preferred.
- Familiarity with numerical analysis, including stability, convergence, and error propagation, is preferred.
Benefits
- Full-time permanent employees are eligible for a discretionary bonus.
- Benefits include paid leave and insurance.
- The role is based in IMC’s Chicago office.