Job Description
DESCRIPTION:
Duties: Lead the design, implementation and optimization of FX options pricing and risk managing models using complex financial and mathematical models, such as stochastic volatility model, local volatility model, arbitrage free vanilla model, Monte Carlo method, and PDE method. Review replies and validate solutions to the front office traders and sales for their queries about quantitative support in FX options business. Manage the strategy, prioritization and development of FX options business C++ and Python library maintained and optimized by junior team members. Conduct research, generate ideas and drive the delivery of new front-end tools in various platforms to improve the FX options business. Create, implement and validate data analysis models for FX option business data using statistical models and machine learning algorithms.
QUALIFICATIONS:
Minimum education and experience required: Doctorate/PhD in Financial Engineering, Computer Science, Mathematics, Physics, Finance or related quantitative field of study plus Two (2) years of experience in the job offered or as Quantitative Research. The employer will alternatively accept a Masters in Financial Engineering, Computer Science, Mathematics, Physics, Finance or related quantitative field of study plus four (4) years in job offered or as Quantitative Research..
Skills Required: Requires experience in the following: AWS Cloud Services; React; SVN; C++; Python; Typescript; probability theory and numerical analysis; FX options payoff, pricing models and data analysis; and FX options quantitative research.
Job Location: 383 Madison Ave, New York, NY 10179.
Salary: $210,000.00 – $285,000.00 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 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. In accordance with applicable law, we make reasonable accommodations for applicants’ and employees’ religious practices and beliefs, as well as any mental health or physical disability needs.
The health and safety of our colleagues, candidates, clients and communities has been a top priority in light of the COVID-19 pandemic. JPMorgan Chase was awarded the “WELL Health-Safety Rating” for all of our 6,200 locations globally based on our operational policies, maintenance protocols, stakeholder engagement and emergency plans to address a post-COVID-19 environment.
As a part of our commitment to health and safety, we have implemented various COVID-related health and safety requirements for our workforce. Employees are expected to follow the Firm’s current COVID-19 or other infectious disease health and safety requirements, including local requirements. Requirements include sharing information including your vaccine card in the firm’s vaccine record tool, and may include mask wearing. Requirements may change in the future with the evolving public health landscape. JPMorgan Chase will consider accommodation requests as required by applicable law.
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, discretionary incentive compensation which may be 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.
Equal Opportunity Employer/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.