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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.
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
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
Please note that J.P. Morgan will not accept unsolicited approaches or speculative CVs, nor will J.P. Morgan be responsible for any related fees, from Third Party Firms who are not preferred suppliers.
The firm invites all interested and qualified candidates to apply for employment opportunities.
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