We are seeking a person to join the JP Morgan Quantitative Research team focused on Interest Rate Hybrids. Relevant education would be in the area of Financial Mathematics, with focus on interest rate models and programming. We expect the person to share in a balanced mixture of responsibilities, including model research , software development, pricing and risk analysis, discussions with the trading desk and model documentation. Responsibilities
Essential skills, experience and qualifications
- I mplement ation i n C++ model library and Python risk management system;
- Rapid prototyping of models and products; benchmark and compare results of various techniques;
- Explain model behavior and predictions to traders and controllers, identify major sources of risk in portfolios, carry out scenario analysis, provide guidance/debug analytics;
- Write well-formulated documents of model specification and implementation testing.
- Excellence in software development in C++ and Python;
- Strong analytical and problem solving abilities;
- Strong probability theory, stochastic processes, partial differential equations, and numerical analysis;
- Good communication skills, both oral and written;
- Master, PhD, or equivalent degree from top tier schools/programs in Mathematics, Mathematical Finance, Physics or Engineering.
knowledge of financial products.