JPMorgan Quantitative Analyst 

United States, New York, New York 

33446843

DESCRIPTION:

Duties: Implement data driven and AI based Equity Exotic tools including parsing, pricing, execution, hedging, and back-testing. Utilize data and quantitative techniques, including stats, NLP and machine learning. Build data-driven hedging strategies for Equity Derivative products. Build framework to allow large scale back-testing of real and hypothetical portfolios over historical and simulated market data. Develop mathematical models for pricing, hedging and risk measurement of derivative securities within a quantitative library using C++ and Python programming languages. Evaluate quantitative methodologies including identifying and monitoring model risk associated with derivative valuation models. Support trading activities by explaining model behavior, identifying major sources of risk in portfolios and carrying out scenario analyses. Develop GUIs that traders can use to execute and book the trades, hedge their positions and monitor daily risk and PNL. Contribute from idea generation to production implementation: perform research, design prototype and implement analytics. Design and onboarding payoffs to strategic platform for end-to- end quoting and booking. Provide clear model documentation and work closely with the model review group to facilitate model approvals. Support trading team and risk organization in pricing and risk management of equity derivatives. Telecommuting permitted up to 20% of the week.

QUALIFICATIONS:

Minimum education and experience required: Master's degree in Mathematics of Finance, Computational Finance, Mathematical Finance, Financial Engineering, or related field of study plus 1 year of experience in the job offered.

Skills Required: Requires experience in the following: Derivatives modelling; Equity derivative products; Python; C++; Stochastic calculus; Time series analysis; Dynamic optimization; Statistical analysis; Machine learning; Linear algebra; parallelization and distributed computation; Digest requests.

Full-Time. Salary: $205,000 - $285,000 per year.