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CIB QR - Quantitative Research – FX Options – Associate / Vice President

Req #: 180026528
Location: New York, NY, US
Job Category: Accounting/Finance/Audit/Risk
Job Description:

Job Summary

We are seeking a person to join the JP Morgan Quantitative Research team in New York focused on FX Options. Relevant education would be in the areas of Financial Mathematics, Computer Science and also well qualified engineers, scientists and other candidates are encouraged to apply. 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 either Python or C++
  • Particular focus on support of the Electronic Trading fx options business.
  • Rapid prototyping of models and products; benchmark and compare results of various techniques.
  • Explain model behavior to traders and control functions, 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 skills preferably in Python and C++
  • Strong analytical and problem solving abilities
  • Excellence in probability theory, stochastic processes, and numerical analysis
  • Good communication skills, both oral and written
  • PhD or Masters degree from top tier schools/programs in Mathematics, Mathematical  Finance, Physics, Computer Science or Engineering

Desirable skills / experience:

  • Knowledge of FX Option payoffs and pricing models in electronic trading space.
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