Quantitative Analyst

Job Description
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.
Job Location: 383 Madison Ave, New York, NY 10017. Telecommuting permitted up to 20% of the week.
Full-Time. Salary: $205,000 - $285,000 per year.
About Us
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 offer a competitive total rewards package including base salary determined based on the role, experience, skill set, and location. For those in eligible roles, we offer discretionary incentive compensation which may be awarded in recognition of firm performance and 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 is an Equal Opportunity Employer, including Disability/Veterans
About the Team
The Corporate & Investment Bank is a global leader across investment banking, wholesale payments, markets and securities services. The world's most important corporations, governments and institutions entrust us with their business in more than 100 countries. We provide strategic advice, raise capital, manage risk and extend liquidity in markets around the world.