DESCRIPTION:
Duties: Implement data driven and AI based Equity Exotic tools including parsing, pricing, execution, hedging, and back-testing. Utilize data and quantitative techniques, including stats, NLP and machine learning. Build data-driven hedging strategies for Equity Derivative products. Build framework to allow large scale back-testing of real and hypothetical portfolios over historical and simulated market data. Develop mathematical models for pricing, hedging and risk measurement of derivative securities within a quantitative library using C++ and Python programming languages. Evaluate quantitative methodologies including identifying and monitoring model risk associated with derivative valuation models. Support trading activities by explaining model behavior, identifying major sources of risk in portfolios and carrying out scenario analyses. Develop GUIs that traders can use to execute and book the trades, hedge their positions and monitor daily risk and PNL. Contribute from idea generation to production implementation: perform research, design prototype and implement analytics. Design and onboarding payoffs to strategic platform for end-to- end quoting and booking. Provide clear model documentation and work closely with the model review group to facilitate model approvals. Support trading team and risk organization in pricing and risk management of equity derivatives.
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QUALIFICATIONS:
Minimum education and experience required: Master's degree in Mathematics of Finance, Computational Finance, Mathematical Finance, Financial Engineering, or related field of study plus one (1) year of experience in the job offered or as Quantitative Analyst, or related occupation.
Skills Required: Requires experience in the following: Requires 1 year of experience in the following: Resolving Model financial mathematic problems, including Local Volatility, Stochastic Local Volatility, Jump risk and calibrate model parameters to market observables, using stochastics process and calculus, probability theory and measure theory; Designing and developing pricing engine and risk hedging applications for complex equity derivatives including Barrier Options, Variance Products, Cliquet, Rainbow Options, Autocallable and Structured Notes, and using modern C++ / Python; Designing and implementing Finite Difference PDE framework and Longstaff-Schwartz and Tsitsiklis-van Roy Monte Carlo engine for derivatives model library; Performing financial time series forecasting with EWMA model, ARIMA model, GARCH model and data visualization techniques; Performing financial statistical analysis leveraging machine learning method including multivariate regression, logistic regression, support vector machine, least angle regression, K nearest neighbors local regression and leveraging machine learning method such as K Means, hierarchical clustering, Principle Component Analysis; Conducting data analysis for large dataset using multithreading and multiprocessing; Performing full-stack development of financial analytical tools from back-end data processing to front-end interactive user interface using C++ and standard library, Python and its numerical, data and machine learning packages, Voila, Jupyter notebook; Building applications that utilize JSON and/or XML formatted data files/service payloads for data transfer; Working with OpenSSL to manage and secure service accounts; Designing and developing industry-standard applications for scenario analysis and historical backtesting, performance evaluation metrics and visualization using software design patterns including interface, factory method, singleton, composite, decorator, template, iterator, read-write lock, scheduler, etc. and leveraging software development lifecycling tools, including GIT, BitBucket, JIRA, and ServiceNow; Designing and creating unit tests and regression tests using Python unit test / mock package and gtest.
Job Location: 383 Madison Ave, New York, NY 10017.
Full-Time. Salary: $205,000 - $285,000.00 per year.
ABOUT US
JPMorganChase, one of the oldest financial institutions, offers innovative financial solutions to millions of consumers, small businesses and many of the world's most prominent corporate, institutional and government clients under the J.P. Morgan and Chase brands. Our history spans over 200 years and today we are a leader in investment banking, consumer and small business banking, commercial banking, financial transaction processing and asset management.
We offer a competitive total rewards package including base salary determined based on the role, experience, skill set and location. Those in eligible roles may receive commission-based pay and/or discretionary incentive compensation, paid in the form of cash and/or forfeitable equity, awarded in recognition of individual achievements and contributions. We also offer a range of benefits and programs to meet employee needs, based on eligibility. These benefits include comprehensive health care coverage, on-site health and wellness centers, a retirement savings plan, backup childcare, tuition reimbursement, mental health support, financial coaching and more. Additional details about total compensation and benefits will be provided during the hiring process.
We recognize that our people are our strength and the diverse talents they bring to our global workforce are directly linked to our success. We are an equal opportunity employer and place a high value on diversity and inclusion at our company. We do not discriminate on the basis of any protected attribute, including race, religion, color, national origin, gender, sexual orientation, gender identity, gender expression, age, marital or veteran status, pregnancy or disability, or any other basis protected under applicable law. We also make reasonable accommodations for applicants' and employees' religious practices and beliefs, as well as mental health or physical disability needs. Visit our FAQs for more information about requesting an accommodation.
JPMorgan Chase & Co. is an Equal Opportunity Employer, including Disability/Veterans
ABOUT THE TEAM
J.P. Morgan's Commercial & Investment Bank is a global leader across banking, markets, securities services and payments. Corporations, governments and institutions throughout the world entrust us with their business in more than 100 countries. The Commercial & Investment Bank provides strategic advice, raises capital, manages risk and extends liquidity in markets around the world.