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 recent 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

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 p

📌 Quantitative Researcher (India)
🏢 Delta Exchange
📍 India