DESCRIPTION:

Duties: Lead the implementation and development of official calculation engine for Investable Indices, risk-premia strategies, alpha, beta, and flexible indices (client-driven). Develop and support the risk management platform used by traders to hedge indices traded with clients. Develop trading hedging strategies for illiquid trading risks. Develop stochastic models to price and risk manage the index linked derivative instruments. Develop descriptive analytics for client positions reporting. Work closely with the structuring and trading teams, and participate in the development of JPMorgan branded systematic trading strategies. Utilize Python to develop within J.P. Morgan's technology platforms.

QUALIFICATIONS:

Minimum education and experience required: Master's degree in Computational Finance, Mathematical Finance, Mathematics, or related field of study plus 5 years of experience in the job offered or as Quantitative Research Associate/Specialist, Financial Consultant, or related occupation. The employer will alternatively accept a PhD in Computational Finance, Mathematical Finance, Mathematics, or related field of study plus 3 years of experience in the job offered or as Quantitative Research Associate/Specialist, Financial Consultant, or related occupation.

Skills Required: This position requires three (3) years of experience with the following: Systematic trading strategies or Quantitative investment strategies, including backtesting, implementation of stress and market disruption events handling; Cross asset exposure, including equities, rates, credit, commodities, and FX; Stochastic derivative pricing models, including development, pricing, risk, implementation and documentation for model review (including optimization, numerical methods and time series analysis); Risk management including exploration of portfolio risk mitigation measures, implementation and communication with stakeholders about technical and risk issues; Developing financial software in python; NumPy; SciPy; Pandas; Version control; Optimization software including linear programming, convex optimization and stochastic optimization packages; Data structures in python including hashmaps, trees, arrays, dataframes and databases; and Algorithms including Markowitz optimization, dynamic programming, Principal Components Analysis, linear/logistic regression, Monte Carlo, Markov Chains and Matrix Factorization.

Job Location: 383 Madison Avenue, New York, NY 10179.

Full-Time. Salary:  $205,000 - $285,000 per year.