CIB - QR Equities Delta 1 – Vice President or Associate – London

Job description

CIB - QR Equities Delta 1 – Vice President or Associate – London

JPMorgan Financing & Delta 1 Quantitative Research team is looking for a strong quant to support the Delta 1 business across risk & pricing.
The team is responsible for developing and maintaining models for valuation, risk, P&L calculations for the Equity Derivatives Delta 1 desk.

The responsibilities of the team include new model specification, going through model approval, implementation of model in library, as well as integration into risk systems.

Responsibilities:

The opportunity is to join our London team as a VP or Associate with a focus on Delta 1 Equity pricing models.

Key responsibilities could include:

·  Develop pricing models for complex repo/ D1 transactions
·  Analysis of hedging strategies
·  Model performance analysis, reserve methodology specification, regulatory analysis
·  Documentation and testing of new models, communicating with Model Review Groups in order to make models pass strict in-house standards
·  Ongoing desk support

Working closely with technology on integration of models in applications

Requirements

The role requires the combination of a very structured mathematical approach to problem solving, experience with quantitative modeling and risk neutral pricing, business overview, and the ability to work in a dynamic environment. Excellent communication skills are required in our interaction with trading, technology, and control functions. A healthy interest in good software design principles is a requirement as well. A Ph.D. in computer science or a numerate subject from a top academic institution is a plus, but not an absolute requirement.

Desired profile

Essential skills:

·  Excellent maths background
·  Excellent knowledge of options pricing theory, stochastic processes and probability theory
·  Excellent C++ skills
·  Strong Python skills
·  Strong analytical and problem solving abilities
·  Strong communication/presentation skills
·  Advanced degree in a technical field from a top-tier school/program: engineering, sciences, computer science, applied math
·  Knowledge of equity derivatives pricing FD, Monte-Carlo, Numerical methods
·  Knowledge of particle calibration and stochastic rates models is helpful

JPMorgan Chase & Co offers an exceptional benefits programme and a highly competitive compensation package. JPMorgan Chase & Co is an Equal Opportunity Employer