GBM Public - Quantitative Researcher – Systematic Option Strategies – FICC Global Currencies and Emerging Markets Strats, VP – New York

About the role

The FICC and Equities Quantitative Strategists team operates at the center of Goldman Sachs' Global Markets business, working hand in hand with traders to turn quantitative research into solutions directly deployed in the trading franchise. The team's impact spans three areas: pushing the frontier of systematization and automation; researching and developing market-making strategies and trading signals for better pricing and risk management; and building low-latency quoting and execution algorithms and the technology stack behind them for trading on exchanges and electronic channels. On desks, the team builds valuation models that price derivatives, evaluates products, explains market behavior, creates trading tools and algorithms for automated trading and hedging, and uses statistical tools to measure and manage risk across asset classes. Across desks, the team builds and runs a large-scale quoting platform and risk management infrastructure, integrating core pricing and risk methods end-to-end with the applications traders use across voice and electronic trading.

Global Banking & Markets serves institutional clients including asset managers, hedge funds, banks and brokerages, pensions, endowments and foundations, corporations and governments, helping them buy and sell financial products, raise funding, and manage risk. The Global Currencies and Emerging Markets (GCEM) Strats team works closely with Trading to develop quantitative research, models and technology to solve complex markets and risk-management problems. As a quantitative researcher within the GCEM Strats team, you will focus on Systematic Option Strategies and partner with the trading desk to research, test and implement systematic solutions to market-making, signal generation and enhanced risk management across global macro markets.

You will help shape the research agenda for Systematic Option Strategies, taking market observations and trading hypotheses through rigorous data analysis, model development, validation, strategy implementation and live deployment. Your research will directly influence how the desk conceptualizes, prices and hedges option risk. You will develop forecasting and prediction models, signals, and systematic hedging strategies, with careful attention to transaction costs, liquidity, tail risk, capacity and robustness across market regimes. The primary focus is systematic FX options and volatility research; relevant experience may come from FX, equities, rates, commodities or another liquid macro asset class. You will work in a collaborative environment involving close interaction between Researchers and Traders while utilizing public and proprietary firm data. This is a highly visible, markets and trading-facing role with a clear path from original research to measurable commercial impact.

Responsibilities

• Drive and contribute to applied research for Systematic Option Strategies, translating market intuition and observations into robust, scalable systematic risk management and market making strategies
• Originate and test systematic option market making approaches, incorporating a diverse array of techniques and signals
• Develop forecasting models for volatility markets, capturing skew, smile, term structure, carry effects, cross-asset relationships and market regimes
• Design and implement systematic hedging strategies for vega and related risks subject to real market constraints, balancing expected P&L, transaction costs, liquidity, basis and tail risks
• Own the end-to-end research process: idea generation, data processing, hypothesis design, feature engineering, backtesting/validation, portfolio construction and performance attribution
• Apply robust research standards, including bias controls, regime and stress analysis, sensitivity testing, realistic implementation assumptions and clear documentation
• Assess production performance of successfully deployed research and refine models as markets evolve
• Partner with Traders to gain insights into and leverage institutional knowledge of market structure and function that can inform research
• Build reusable analytical tools and contribute to shared research infrastructure, data standards and best practices
• Communicate methods, assumptions, risks and results clearly to Trading and senior stakeholders

Requirements

• MS or PhD in statistics, mathematics, physics, computer science, engineering, operations research, econometrics, quantitative finance or a related quantitative discipline
• Typically 4–8 years of applied quantitative research experience in systematic options or volatility trading, systematic macro, derivatives, cross-asset relative value, statistical arbitrage or a closely related area
• Demonstrated experience developing and validating predictive models, signals, strategies or systematic hedging approaches
• Strong understanding of options, volatility and risk, including Greeks, volatility surfaces, carry and roll-down, P&L attribution, transaction costs and tail behavior
• Experience with options in FX, equities, rates, commodities or another liquid macro asset class; cross-asset experience is valued
• Excellent foundation in statistics, probability, time-series analysis, econometrics, machine learning, optimization and experimental design
• Strong programming skills and experience working with large market datasets, research pipelines and backtesting frameworks; proficiency in Python, Java, or similar languages is beneficial
• Track record of independent research ownership, sound judgment and a rigorous and diligent analytical approach
• Clear written and verbal communication skills, intellectual honesty, high standards and the ability to work effectively in a fast-paced collaborative environment

Pay

The expected base salary for this New York, NY, United States-based position is $155,000–$300,000. In addition, you may be eligible for a discretionary bonus if you are an active employee as of fiscal year-end.

Benefits

Goldman Sachs provides valuable and competitive benefits and wellness offerings. A summary of these offerings, generally available to active, non-temporary, full-time and part-time US employees who work at least 20 hours per week, can be found on the firm's benefits site.