CIB - Quantitative Research Core Analytics Development - Associate - NY, NY

Job description

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 .

Job Summary:
To provide infrastructure, pricing and hedging solutions for Investment Bank front office users through vanilla/core analytics libraries. The market coverage is mostly equities, interest rate derivatives, fixed income and credit products, and FX business streams

Core Responsibilities:
·  Developing pricing functions written in ‘C++' and ‘C' and exposed via other APIs (e.g. Java, Python, Smalltalk, Excel). Tasks would encompass the coding, specification, implementation, testing and documentation of these functions.
·  Supporting typical end users, e.g. AD developers, traders & middle office staff in the use of the functions.
·  Communicating with other technology groups that wish to embed the functionality in their applications

Desired profile

Essential skills, experience, and qualifications:
·  Detailed understanding of ‘C++' including experience of advanced features, e.g. templates, design patterns, STL, exception handling and templates.
·  Minimum 2 years development experience
·  Masters Degree (MSc or MEng) in numerate subject e.g. engineering, science, computing or mathematics
·  Understanding of interest rate derivatives (zero curves, FRAs, swaps & futures), interest rate options (caps, floors, swaptions) and fixed income instruments (bonds, asset swaps). Some familiarity with volatility smile, skew and convexity. Knowledge of fundamentals of option pricing using Black-Scholes and knowledge of basic principles of risk management and sensitivity calculations (VaR, option greeks and market perturbations). Minimum 2-year's practical experience of the above.

Desirable skills, experience, and qualifications:
·  Higher degree in a financial discipline, e.g. M.Sc. in Finance
·  Software Object Orientated Analysis & Design
·  Knowledge of Credit derivatives including CDS, spread curves and risky bonds
·  Spreadsheet experience
·  Python programming skills
·  Java programming skills
·  CUDA/HPC or similar parallel programming experience
·  Web programming skills (pylons)
·  ‘C' programming skills
·  Good familiarity with Visual Studio, cygwin, make, perl, bash scripting technologies
·  VB/VBA programming skills

Additional information:
·  Candidates would be expected to:
·  Have a confident nature and willing and able to work on the trading floor
·  Have the ability to work in a business critical and high-pressure environment
·  Be a team-player
·  Have strong communication skills
·  Be innovative
·  Be proactive