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CIB - QR Commodities VP - New York, 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.

 

This is a quantitative developer 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:

 

  • Research and development in Python and C++

  • 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

Qualifications

 

  • Strong software development skills in both Python and C++

  • Object oriented programming skills with emphasis on numerical methods

  • Good understanding of options pricing theory (i.e. quantitative models for pricing and hedging derivatives)

  • Experienced in probability theory, stochastic processes, partial differential equations, and numerical analysis

  • Strong analytical, modeling and problem solving abilities

  • Good communication skills

PhD, Masters or equivalent degree in a technical field from a top-tier school/program: Mathematics, Mathematical Finance

Req #: 160035906
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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