JPMorgan Index Flow Options Trader 

United States, New York, New York 

934346788

DESCRIPTION:

QUALIFICATIONS:

Minimum education and experience required: Master's degree in Financial Engineering, Finance, or related field of study plus three (3) years of experience in the job offered or as Equity Derivatives Trader; Structured Products Manager; Analyst, or related occupation.

Skills Required: This position requires two (2) years of experience with the following: Scripting programming languages, including Python 3.7 with experience with data science libraries including: pandas, numpy, seaborn, sci-kit learn, and statsmodels; Modern mathematical methods used to estimate the fair value of equity derivatives (including options, variances swaps, volatility swaps) including: diffusive stochastic processes (including geometric Brownian motion with local volatility) and numerical methods including: Monte Carlo, finite difference methods; applying statistical (including PCA, linear and logistic regression, time series analysis) and machine learning methods (regularization, clustering algorithms) to financial data sets; working with stochastic volatility models (including Local Volatility, Local-Stochastic Volatility) and their impact on pricing and risk management of a portfolio of options and variance/volatility swaps; Risk-managing all aspects of a portfolio of structured equity-linked investment notes (rates and funding spread hedging, replicating risk with vanilla options); Generating, maintaining, risk managing and improving systematic investment strategies in equity volatility space, including those involving significant second-order (including vanna, volga) and nonlinear exposures to volatility (including VIX futures); working with the factors that affect supply/demand of exotic equity- linked derivatives (including VKOs, RKO, binary options) and the impact that their rebalancing has on different parts of the volatility surface.

Job Location: 383 Madison Avenue, New York, NY 10179. This position requires up to 10% domestic and international travel.

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