Quantitative Research Equity Derivatives

Job Description
DESCRIPTION:
Duties: Apply stochastic process, finite difference and Monte-Carlo methods, probability theory, and other quantitative methods to design, implement, and maintain quantitative models for the pricing, hedging, and risk management of equity derivatives products. Design efficient numerical algorithms and implement high performance computing solutions. Implement risk measurement and valuation models in trading software and systems. Analyze and interpret statistical data to identify driving factors, major risks, and trading opportunities in equity exotics market. Explain model behavior to traders and help them use quantitative tools. Identify major sources of risk in portfolios. Conduct scenario analyses and provide back test and analysis in trading strategies. Support equity exotics trading desk on day-to-day risk decomposition and P&L explanation. Resolve pricing failures and booking issues. Evaluate quantitative methodologies, such as identifying and monitoring model risk associated with quantitative models and assessing their appropriateness and limitations for valuation and risk management. Approve new financial products and maintain existing products in partnership with the Model Risk Governance and Review Group, the Valuation Control Group, and the Market Risk Group.
QUALIFICATIONS:
Minimum education and experience required: Master's degree in Financial Engineering, Engineering, Mathematics, Statistics, Physics, or related field of study plus (1) One year of experience in the job offered or as Quantitative Research Equity Derivatives, Quant Strats Equity Derivatives, Quant Strats, or related occupation.
Skills Required: Requires experience in the following: probability theory and statistics; stochastic process and stochastic calculus; numerical methods including Monte-Carlo, PDE and Tree engines, Euler and Milstein schemes, and random number generation; linear and non-linear optimization methods; application of data analytics and machine learning techniques to derivatives pricing; valuation and modeling of exotic derivative options; equity exotic products; delivering tools to trading and structuring teams that tailor products to clients' needs; building models that facilitate the trading desks' hedging practices; C++; Python; design patterns, data structures, and containers; and C++ based industrial quantitative libraries. Experience with these skills can be gained through graduate-level coursework.
Job Location: 383 Madison Avenue, New York, NY 10179. Telecommuting permitted up to 20% of the week.
Full-Time. Salary: $200,000 - $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. Those in eligible roles may receive commission-based pay and/or discretionary incentive compensation 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 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.