We are seeking a person to join the JP Morgan Quantitative Research team focused on Interest Rates Hybrids. 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. Depending on experience and background, initial projects could involve nonlinear and linear bond, ABS or inflation derivatives.
Develop models and implement them in C++/Python for pricing and risk managing derivatives.
Rapid prototyping of models and products; benchmark and compare results of various techniques.
Explain model behaviour and predictions to traders and controllers, identify major sources of risk in portfolios, carry out scenario analysis, provide guidance / debug analytics.
Write well-formulated documents of model specification and implementation testing.
Essential skills, experience and qualifications:
Desirable skills / experience:
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