CIB QR - Quantitative Research Equity Derivatives Modeling – Vice President

  • Competitive
  • New York, NY, USA
  • Permanent, Full time
  • JPMorgan.
  • 25 May 19

CIB QR - Quantitative Research Equity Derivatives Modeling – Vice President

JPMorgan Chase & Co. (NYSE: JPM) is a leading global financial services firm with assets of $2.4 trillion and operations worldwide. The Firm is a leader in investment banking, financial services for consumers and small businesses, commercial banking, financial transaction processing, asset management and private equity. A component of the Dow Jones Industrial Average, JPMorgan Chase & Co. serves millions of consumers in the United States and many of the worlds most prominent corporate, institutional and government clients under its J.P. Morgan and Chase brands. www.jpmorganchase.com .

J.P. Morgan's Corporate & Investment Bank is a global leader across banking, markets and investor services. The world's most important corporations, governments and institutions entrust us with their business in more than 100 countries. With $18 trillion of assets under custody and $393 billion in deposits, the Corporate & Investment Bank provides strategic advice, raises capital, manages risk and extends liquidity in markets around the world. Further information about J.P. Morgan is available at http://www.jpmorgan.com/ .

The primary aim of this team is to research and develop quantitative models for the Equity Derivatives business, as well as to ensure their compliance with internal policies and industry regulations. This involves:

Developing models for the pricing and risk management of equity derivatives, including investigating improvements to existing models
Implementing these models in our quant library
Writing model documentation compliant with internal and regulatory standards
Working with model control teams to facilitate timely and efficient review and approval of models
Liaising with business functions as well as other quantitative research and control teams.
Essential attributes

  • Excellent analytical and problem-solving abilities
  • Outstanding academic record with a higher degree in a mathematical subject from a top-tier institution
  • Excellent written and oral communication
  • Thorough understanding of equity derivatives pricing theory and standard models
  • Strong coding skills
  • Desirable attributes
  • Experience in a derivatives modelling environment (either front office or model validation)
  • Professional C++/Python development experience