|Job Type:||Full Time|
We are seeking a person to join the JP Morgan Quantitative Research team focused on Interest Rates. Relevant education would be in the area of Financial Mathematics and/or Computer Science, with focus on IR 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.
- Develop models and implement them in C++ and python 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, C++ and python skills;
- Strong analytical and problem solving abilities;
- Exposure to probability theory, stochastic processes, partial differential equations, and numerical analysis;
- Good communication skills, both oral and written;
- Advanced degree from top tier schools/programs in Mathematics, Mathematical Finance, Physics, Computer Science or Engineering.
- Previous experience in Slang/SecDB, Quartz, Beacon;
- Knowledge of financial products.