JPMorgan Chase CIB Risk- Quantitative Research Rates Modelling - Associate in New York, New York
We are seeking a person to join the JP Morgan Quantitative Research team focused on Rates modelling for electronic trading. Relevant education would be in the area of Computer Science or Financial Mathematics, though well qualified engineers, scientists and other candidates are encouraged to apply. We expect the person to share in a balanced mixture of responsibilities, including model research and development, model documentation, pricing and risk investigation, product-specific analysis, software development and discussions with the trading desk.
· Develop models and implement in Python, Java, or C+· Rapid prototyping of models and products; benchmark and compare results of various techniques.
· Explain model behaviour and predictions to traders and control functions, carry out scenario analysis, provide guidance / debug analytics.
· Write well-formulated documents of model specification and implementation testing.
Develop models and implement them in either Python or C++ Particular focus on support of the Electronic Trading fx options business.
Rapid prototyping of models and products; benchmark and compare results of various techniques.
Explain model behavior to traders and control functions, carry out scenario analysis, provide guidance / debug analytics.
Write well-formulated documents of model specification and implementation testing.
Essential skills, experience and qualifications:
Strong software development skills preferably in Python and C++ Strong analytical and problem solving abilities
Excellence in probability theory, stochastic processes, and numerical analysis
Good communication skills, both oral and written
PhD or Masters degree from top tier schools/programs in Mathematics, Mathematical Finance, Physics, Computer Science or Engineering
Desirable skills / experience:
- Knowledge of FX Option payoffs and pricing models in electronic trading space.
JPMorgan Chase is an equal opportunity and affirmative action employer Disability/Veteran.