Responsibilities:

1. Develop ultra-short-term exotic options pricing engine modeling.

2. Design and maintain the probability calibration framework: Platt/Isotonic/bin calibration, bin-level Brier score, reliability curves, and manage multiple calibration tables by asset, tenor, and market regime.

3. Identify market states—active/inactive, one-sided, toxic/stale—and convert them into executable pricing and risk-control rules.

4. Conduct tick-level replay backtesting: PnL attribution, selection bias analysis, and adverse user simulation.

Requirements:

1. Solid background in probability and statistics plus financial mathematics: stochastic processes, Brownian motion/GBM, martingales/measure theory (able to distinguish real-world versus risk-neutral measures).

2. Deep understanding of derivatives and volatility: implied volatility/volatility surface (e.g., SVI), how to use it as an information source or prior, and when it may break down.

3. Knowledge of market microstructure: bid/ask dynamics, inventory risk, adverse selection, and price behavior in a thin order book.