Quantitative Researcher

Job Description
DESCRIPTION:
Duties: Lead the design, implementation and optimization of Algorithmic Index pricing and risk management models in the FX Options business using complex financial and mathematical models including stochastic volatility, local volatility, arbitrage free vanilla, Monte Carlo, and PDE, as well as machine learning methods in Python and C++ leveraging distributed calculation on Cloud. Optimize the risk management of the Algorithmic Indices by designing and implementing analytical tools that leverage convex optimizers and machine learning methods. Represent the FX Options business in cross asset meetings regarding the Algorithmic Index business and lead the strategy of how FX Indices can be used in cross asset indices. Manage interactions with front office traders and sales and structuring team for their queries about quantitative support in FX options business. Innovate new analytic strategies for the Algorithmic Index FX options business to enrich our product offering for clients.
QUALIFICATIONS:
Minimum education and experience required: Master's degree in Financial Engineering, Computer Science, Finance, Mathematics, or related field of study plus 2 (Two) years of experience in the job offered or as Quantitative Researcher or related occupation.
Skills Required: This position requires two (2) years of experience with the following: Using C++ and Python to develop, test, and implement production-ready pricing and intraday risk management code for algorithmic indices for a global financial market making derivatives firm, and executing on distributed AWS Cloud compute; Designing and testing index strategies using R, Stata, and Machine Learning techniques including Random Forest and XGBoost; Using TypeScript React to implement web interfaces for pricing and risk management; Probability theory and numerical methods including Monte Carlo and partial differential equations solved in Crank-Nicholson finite difference grids; FX options payoffs including forwards and Vanilla options and non-deliverable forwards and options on a rolling baskets of forwards; FX options pricing models including stochastic volatility, local volatility, and arbitrage free Vanilla models; and FX options data analysis including skew relative value based on the relationship between volatility and spot moves. This position requires one (1) year of experience with the following: SVN for source control.
Job Location: 270 Park Ave, New York, NY 10017.
Full-Time. Salary: $210,000 - $285,000 per year.
About Us
JPMorganChase, one of the oldest financial institutions, offers innovative financial solutions to millions of consumers, small businesses and many of the world's most prominent corporate, institutional and government clients under the J.P. Morgan and Chase brands. Our history spans over 200 years and today we are a leader in investment banking, consumer and small business banking, commercial banking, financial transaction processing and asset management.
We offer a competitive total rewards package including base salary determined based on the role, experience, skill set and location. Those in eligible roles may receive commission-based pay and/or discretionary incentive compensation, paid in the form of cash and/or forfeitable equity, awarded in recognition of individual achievements and contributions. We also offer a range of benefits and programs to meet employee needs, based on eligibility. These benefits include comprehensive health care coverage, on-site health and wellness centers, a retirement savings plan, backup childcare, tuition reimbursement, mental health support, financial coaching and more. Additional details about total compensation and benefits will be provided during the hiring process.
We recognize that our people are our strength and the diverse talents they bring to our global workforce are directly linked to our success. We are an equal opportunity employer and place a high value on diversity and inclusion at our company. We do not discriminate on the basis of any protected attribute, including race, religion, color, national origin, gender, sexual orientation, gender identity, gender expression, age, marital or veteran status, pregnancy or disability, or any other basis protected under applicable law. We also make reasonable accommodations for applicants' and employees' religious practices and beliefs, as well as mental health or physical disability needs. Visit our FAQs for more information about requesting an accommodation.
JPMorgan Chase & Co. is an Equal Opportunity Employer, including Disability/Veterans
About the Team
J.P. Morgan's Commercial & Investment Bank is a global leader across banking, markets, securities services and payments. Corporations, governments and institutions throughout the world entrust us with their business in more than 100 countries. The Commercial & Investment Bank provides strategic advice, raises capital, manages risk and extends liquidity in markets around the world.