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CIB - Quantitative Research Core Analytics Development - Associate - NY, NY

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 worlds most prominent corporate, institutional and government clients under its J.P. Morgan and Chase brands. www.jpmorganchase.com.
 
Job Summary:
To provide infrastructure, pricing and hedging solutions for Investment Bank front office users through vanilla/core analytics libraries. The market coverage is mostly equities, interest rate derivatives, fixed income and credit products, and FX business streams
 
Core Responsibilities:
  • Developing pricing functions written in ‘C++’ and ‘C’ and exposed via other APIs (e.g. Java, Python, Smalltalk, Excel). Tasks would encompass the coding, specification, implementation, testing and documentation of these functions.
  • Supporting typical end users, e.g. AD developers, traders & middle office staff in the use of the functions.
  • Communicating with other technology groups that wish to embed the functionality in their applications
Essential skills, experience, and qualifications:
  • Detailed understanding of ‘C++’ including experience of advanced features, e.g. templates, design patterns, STL, exception handling and templates.
  • Minimum 2 years development experience
  • Masters Degree (MSc or MEng) in numerate subject e.g. engineering, science, computing or mathematics
  • Understanding of interest rate derivatives (zero curves, FRAs, swaps & futures), interest rate options (caps, floors, swaptions) and fixed income instruments (bonds, asset swaps). Some familiarity with volatility smile, skew and convexity. Knowledge of fundamentals of option pricing using Black-Scholes and knowledge of basic principles of risk management and sensitivity calculations (VaR, option greeks and market perturbations). Minimum 2-year’s practical experience of the above.
 
Desirable skills, experience, and qualifications:
  • Higher degree in a financial discipline, e.g. M.Sc. in Finance
  • Software Object Orientated Analysis & Design
  • Knowledge of Credit derivatives including CDS, spread curves and risky bonds
  • Spreadsheet experience
  • Python programming skills
  • Java programming skills
  • CUDA/HPC or similar parallel programming experience
  • Web programming skills (pylons)
  • ‘C’ programming skills
  • Good familiarity with Visual Studio, cygwin, make, perl, bash scripting technologies
  • VB/VBA programming skills
 
Additional information:
  • Candidates would be expected to:
  • Have a confident nature and willing and able to work on the trading floor
  • Have the ability to work in a business critical and high-pressure environment
  • Be a team-player
  • Have strong communication skills
  • Be innovative
  • Be proactive
Req #: 150126156
Location: New York, NY US
Job Category: Accounting/Finance/Audit/Risk
Employment Type: Full Time
Potential Referral Amount: 0 US Dollar (USD)

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