Monday, February 4, 2008

Manager of Quantative Development, $250-400K

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Prestigious company located in Chicago’s Loop is currently seeking a Manager of Quantitative Development. Candidates will manage over 5 Quantitative Developers. Candidates must have a PhD and have experience managing Quantitative Developers. This person should bring to our firm a background of a wide variety of finance and derivatives related problem solving, as well as experience in high frequency analytics. In addition to working on problems individually, an important aspect of this role is to serve as a resource, sounding board, and mentor to the members of the quantitative research team, to the software engineers interfacing with models and designing trading systems, and to the traders. We are looking for an individual who can bring a thorough knowledge of industry application of theory and maintain an open mind to DRW views in order to meld the best ideas from both.


Work closely with quantitative research team and with traders to develop a variety of derivatives models and trading algorithms

Serve as a resource for the firm and especially other researchers to discuss research projects, ideas, approaches, etc

Provide recommendations on infrastructure and tools for the research team

Interface with software engineering team as necessary to integrate new tools and models into trading software environment

Work with the key business units to determine project priorities and approaches.


Thorough understanding of trading business; some hands-on trading experience preferred

10+ years experience in the financial industry; must have in-depth understanding of derivatives and risk management concepts and practices

PhD in Mathematics, Statistics, Physics, Engineering or related quantitative field, or the foreign equivalent

Must have experience in Mathematica or Matlab

Expert level knowledge in at least one of the following: stochastic calculus, probability, statistics, time series analysis

Deep understanding of the modeling of vanilla derivatives

Prefer a thorough understanding of fixed income modeling concepts and standard industry approaches

Previous experience in the area of high frequency data analysis and trading decision making

Basic understanding of technology issues related to model implementation and electronic trading

Some previous programming experience required; experience with C languages preferred

Excellent communication skills; ability to communicate effectively at all levels and with a wide range of personality types

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