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CIB QR- Quantitative Research - Commodities Quantitative Analyst

Req #: 180003015
Location: Houston, TX, US
Job Category: Accounting/Finance/Audit/Risk
Job Description:
JPMorgan Chase & Co. (NYSE: JPM) is a leading global financial services firm with assets of $2.4 trillion and operations worldwide. The Firm is a leader in investment banking; financial services for consumers and small businesses, commercial banking, financial transaction processing, asset management and private equity. A component of the Dow Jones Industrial Average, JPMorgan Chase & Co. serves millions of consumers in the United States and many of the world’s most prominent corporate, institutional and government clients under its J.P. Morgan and Chase brands.
This is a quantitative analyst position within the Commodities Quantitative Research team, with responsibilities including developing and maintaining models for valuation, risk, profit/loss calculations, as well as quoting and market making algorithms and analysis tools.
Core responsibilities:
  • Develop models and implement them in software for pricing and risk managing  derivatives
  • Develop pricing and calibration tools
  • Benchmark and compare results of various techniques
  • Implement products using pricing engines and models
  • Explain model behavior and predictions to traders, identify major sources of risk in portfolios, carry out scenario analyses, provide guidance / debug analytics
  • Rapid prototyping of models and products
  • Relevant quantitative modelling and/or derivatives trading desk support experience, preferably in Commodities
  • Deep understanding of options pricing theory (i.e. quantitative models for pricing and hedging derivatives)
  • Excellence in probability theory, stochastic processes, partial differential equations, and numerical analysis
  • Strong analytical, modeling and problem solving abilities
  • Exposure to Athena, Python and C++
  • Object oriented programming skills with emphasis on numerical methods
  • Good communication skills
  • PhD, Masters or equivalent degree in a technical field from a top-tier school/program: Mathematics, Mathematical Finance, Sciences, Engineering, Computer Science
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