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Overview
Join Delta Exchange as a Quantitative Researcher to enhance pricing models for perpetual swaps and options in crypto and equity tokens. Work remotely in a collaborative environment focused on continuous improvement.
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.
- •Research Implementation: Read, critique, and implement cutting-edge technical/academic research papers to solve complex quantitative problems.
Benefits
- •Collaborative remote work environment that allows you to have a work life balance.
- •Growth framework that drives fast, continuous improvement.
- •Opportunity to learn and collaborate with the leadership team.
- •Exciting team offsites and employee engagement activities.
- •Competitive compensation and exposure to closely with teams.
Requirements
- •Derivatives & Volatility Expertise: Hands-on experience with derivatives pricing (options, perps), raw volatility modeling, and surface calibration.
- •Model Validation Background: Strong track record in model risk, backtesting, and stress testing within quantitative finance or trading environments.
- •First-Principles Mindset: Ability to deconstruct crypto market mechanics from first principles rather than relying strictly on legacy TradFi assumptions.
- •Research Capability: Ability to quickly digest and code complex formulas from technical research papers.
- •Technical Skills: Advanced proficiency in Python (NumPy, SciPy, Pandas) or C++ for quantitative prototyping and analysis.
- •Education: Master’s or Ph.D. in Financial Engineering, Quantitative Finance, Mathematics, Physics, or a related field.
- •Domain Knowledge: Strong understanding of crypto market microstructure, funding rates, and tokenized equity/RWA assets.