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JPMorgan Chase & Co.
- London
- JPMorgan Chase & Co. - London
Job Summary:
We are seeking a person to join the JP Morgan Quantitative Research team focused on Interest Rates and/or Rates Hybrids modelling. Relevant education would be in the area of Financial Mathematics, with focus on IR and hybrids models and programming. 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.
Core Responsibilities:
Develop models and implement them in C++ for pricing and risk managing derivatives.
Rapid prototyping of models and products; benchmark and compare results of various techniques.
Explain model behavior and predictions to traders and controllers, identify major sources of risk in portfolios, 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 and C++ skills
Strong analytical and problem solving abilities
Excellence in probability theory, stochastic processes, partial differential equations, and numerical analysis
Good communication skills, both oral and written
PhD or equivalent degree from top tier schools/programs in Mathematics, Mathematical Finance, Physics or Engineering
Desirable skills / experience:
Python; knowledge of financial products
About J.P. Morgan’s Corporate & Investment Bank:
J.P. Morgan’s Corporate & Investment Bank is a global leader across banking, markets and investor services. The world’s most important corporations, governments and institutions entrust us with their business in more than 100 countries. With $18 trillion of assets under custody and $393 billion in deposits, the Corporate & Investment Bank provides strategic advice, raises capital, manages risk and extends liquidity in markets around the world. Further information about J.P. Morgan is available at www.jpmorgan.com.
JPMorgan Chase & Co. offers an exceptional benefits program and a highly competitive compensation package. JPMorgan Chase & Co. is an Equal Opportunity Employer.