JPMorgan Chase Vice President, Quantitative Research in New York, New York
Duties: Implement and maintain quantitative models and analytics in Python and C++ for pricing and risk management of emerging market derivatives trading desk. Adapt existing models from different asset classes (Interest Rates, FX and Credit) to needs of derivatives market marking business. Develop new market making strategies and trading tools for emerging market FX and interest rate flow products on internal and external electronic trading platforms. Develop new models for pricing and risk management complex Emerging Market bond derivatives, such as bond option and bond forward. Collaborate with or provide consultation to fellow colleagues from trading or risk/operation teams on model behavior and risk calculations. Write well-formulated documents of model specification and implementation testing. Work with internal model-validation functions on model approval, scope of usage and product control procedure. Coordinate with technology teams and conduct product release onto various trading/risk management platforms.
Minimum education and experience required: Master’s degree or equivalent in Mathematics, Statistics, Physics, Computer Science, Quantitative Finance, or related field plus two (2) years of experience with financial derivative modeling and development, or related experience OR Bachelor’s degree or equivalent in Mathematics, Statistics, Physics, Computer Science, Quantitative Finance, or related field plus five (5) years of experience with financial derivative modeling and development , or related experience.
Minimum skills required: Experience with fixed income markets, including Emerging Market interest rate products. Experience developing quantitative models and analytics in C++ and Python. Knowledge of options pricing theory. Knowledge of stochastic processes. Knowledge of partial differential equations. Knowledge of numerical analysis. Knowledge of interest rates flow products and interest curve construction. Experience working with large financial datasets, data quality controls, data validation. Experience developing real time trading and technology system. Any amount of experience with the required skills is acceptable. Knowledge of the required skills could have been gained through academic training or professional work experience.
JPMorgan Chase is an equal opportunity and affirmative action employer Disability/Veteran.