Duties: Prepare prototypes of FX pricing models and products. Design tests to verify numerical implementation, and to assess the sensitivity of pricing with respect to either key model parameters or market data. Benchmark and compare results of various techniques to decide the pricing engine for the product. Examine the smoothness of the model-calculated Greeks. Perform stress testing to assess the robustness and stability of the pricing models. Write documents of model specification and implementation testing. Communicate with model review group to get model approved and published. Implement models in either Python or C++. Perform test implementation against production scenarios to ensure safe release. Support the Electronic Trading FX options business. Respond to ad-hoc requests from traders. Optimize trading platform, including speeding up platform and minimize memory usage. Conduct research on models to automate the processing of trading inputs and signals. Develop tools to assist trader analysis using visualization techniques. Analyze trading data to enhance trading analysis methodologies using machine learning models. Design and implement risk reports concerning the portfolio’s risk in different dimensions. Leverage the risk reports to assist the trading team with generating live risk of the portfolio and automated trading signals/suggestions based on live risk. Explain model behavior to traders and control functions, carry out scenario analysis, provide guidance, and debug analytics.
QUALIFICATIONS:
Minimum education and experience required: This position requires a Master’s degree in Mathematics, Finance, Physics, Computer Science, Computer Engineering, or related field of study and three (3) years of experience in the job offered or three (3) years of experience as a Quantitative Researcher, Quantitative Analyst, or related occupation.
Skills Required: This position requires three (3) years of experience with the following skills and technologies: pricing models for various payoff types; vanilla and exotics greeks; Black-Scholes model; working with large data set with distributed computing framework; common machine learning models such as reinforcement learning or Neural Network; and software development in Python and C++. This position requires two (2) years of experience with the following skills and technologies: vanilla and exotic FX Options market; and risk management techniques related to FX Options business. This position requires one (1) year of experience with the following skills and technologies: local volatility models and the stochastic volatility models; numerical methods and simulation techniques for solving partial differential equations (PDE) and stochastic differential equations (SDE); electronic trading pricing algorithms; and visualization techniques for large data sets such as Tornado web apps or Enaml desktop apps.
JPMorgan Chase & Co., 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 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. In accordance with applicable law, we make reasonable accommodations for applicants’ and employees’ religious practices and beliefs, as well as any mental health or physical disability needs.
Equal Opportunity Employer/Disability/Veterans
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