Prop Trading Firm/ NYC
Consutling 3-6 Months/ Rate Open
Summary: Proprietary Trading Firm specializing in Options and AMM want to hire a quant with coding skills in either C++, C#, Java to implement their own work. Project will probably be 3-6 months in duration.
What needs to be done:
1. Event based modeling of volatility: need to understand how event affects volatility, how to take it out of the implied volatility and how to effectively not make it decay over time.
2. Volatility curve modeling over underlying movement: need to understand how volatility surface move with respect to the movement of the underlying to have a better understanding of whether of not volatility "came in" or got realized in a certain way.
These are the 2 major projects and this has to be done in real time and be able to understood by the internal team. I think that person has to be from an options background and either serve on the trading desk or work closely with the trading desk.