|Job Type:||Full Time|
We are seeking a person to join the JP Morgan Quantitative Research team focused on Interest Rate Hybrids. Relevant education would be in the area of Financial Mathematics, with focus on interest rate models, fx 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.
- 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 in C++ and Python;
- Strong analytical and problem solving abilities;
- Excellence in probability theory, stochastic processes, partial differential equations, and
- 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: knowledge of financial products.