DESCRIPTION:
Duties: Develop a software library that prices derivatives and calculates risks. Optimize algorithms for pricing and risk analytics by exploiting vectorization and parallelization. Select and tune compilers to obtain optimal performance on current architectures for risk and pricing models. Maintain core and cross-asset library frameworks that support pricing model development. Develop and maintain scalable continuous integration infrastructure to support the development of a pricing model library. Design efficient library and interface designs to optimize the interaction between the quant library and risk management system. Investigate potential performance enhancements for risk models. Utilize new software paradigms to enact paradigm shifts in parallel computation, including leveraging machine learning abstractions to encode single- instruction multiple-data workflows. Support end users of the pricing library and communicate with desk-aligned quant teams and technology groups.
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QUALIFICATIONS:
Minimum education and experience required: Master's degree in Computational Finance, Financial Engineering, Mathematics, Computer Science, or related field of study plus 2 years of experience in the job offered or as Quantitative Research, Quantitative Analyst, or related occupation.
Skills Required: Requires experience in the following: C++; C++ Standard Template Library (STL); Boost C++ libraries; Libraries for algorithmic differentiation in C++; Mapping C++ code to hardware; Python; Financial mathematics, including stochastic calculus and analysis; Financial mathematics, including probability theory; Financial mathematics, including pricing theory; Linux administration and scripting; Bash; Perl; High-performance computing techniques, including the use of accelerators such as Compute Unified Device Architecture (CUDA) for optimization of model analytics code for financial risk management; Tuning code to low-level aspects of computer architecture, including cache, memory hierarchies, and CPU pipelining; and Machine Learning libraries, including TensorFlow and PyTorch.
Job Location: 383 Madison Avenue, New York, NY 10179
Full-Time. Salary: $215,000 - $285,000 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.