Quantitative Researcher - Pricing Model
D
Delta ExchangeQuantitative Finance
IndiaFull-TimeMiddle
Salary not disclosed
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Job Details
- Required Skills
- PythonNumpyC++Pandas
Requirements
- Hands-on experience with derivatives pricing (options, perps), raw volatility modeling, and surface calibration.
- Strong track record in model risk, backtesting, and stress testing within quantitative finance.
- Ability to deconstruct crypto market mechanics from first principles.
- Ability to quickly digest and code complex formulas from technical research papers.
- Advanced proficiency in Python (NumPy, SciPy, Pandas) or C++ for quantitative prototyping.
- Master’s or Ph.D. in Financial Engineering, Quantitative Finance, Mathematics, Physics, or a related field.
- Strong understanding of crypto market microstructure, funding rates, and tokenized equity/RWA assets.
Responsibilities
- Enhance and benchmark existing pricing models for plain vanilla perpetual swaps and options.
- Design and prototype novel mathematical models for new derivative instruments and tokenized structures.
- Audit and empirically test model assumptions against live market data.
- Perform end-to-end model validation to identify structural limitations and failure points.
- Evaluate model risk, greeks, and liquidity exposure under extreme market scenarios.
- Maintain raw volatility pricing, implied volatility surfaces, and funding rate models.
- Implement technical academic research to solve complex quantitative problems.
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