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CIB QR- Quantitative Research Rates Modelling - Associate

Req #: 170097262
Location: New York, NY, US
Job Category: Accounting/Finance/Audit/Risk
Job Description:
We are seeking a person to join the JP Morgan Quantitative Research team focused on Rates modelling for electronic trading. Relevant education would be in the area of Computer Science or Financial Mathematics, though 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 in Python, Java, or C++
  • Rapid prototyping of models and products; benchmark and compare results of various techniques.
  • Explain model behaviour and predictions 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 Python
  • Knowledge of a time series DB like KDB+ or OneTick
  • Knowledge of Rates products
  • Experience in electronic trading in the FICC space with linear products
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