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JPMorgan Chase & Co. (NYSE: JPM) is a leading global financial services firm with assets of $2.7 trillion and operations worldwide. The firm is a leader in investment banking, financial services for consumers and small business, commercial banking, financial transaction processing, and asset management. A component of the Dow Jones Industrial Average, JPMorgan Chase & Co. serves millions of consumers in the United States and many of the world's most prominent corporate, institutional and government clients under its J.P. Morgan and Chase brands.
Job Summary: This is a mid-level (2-5 yrs. experience minimum) model and product development role within the highly material NA Linear (Securities, Swaps and FX Forwards) trading business at JP Morgan. The role requires significant experience in state-of-the-art yield curve construction approaches (overnight index swaps, central counterparty basis, CSA discounting, varying liquidity in overlapping market segments)
Develop, implement (C++/Python), tests and document Linear Rates models for pricing and risk managements of Rates derivatives.
Perform and assist Trading and Control groups with pricing, risk management, P&L, and model behavior. Carry out scenario and benchmarking analysis.
Develop and collaborate with IB Technology in new technology and enhancement to support trading and risk management capabilities in electronic, systematic and relative value space
Essential skills, experience, and qualifications:
PhD, MS or equivalent degree from top tier schools/programs in Mathematics, Mathematical Finance, Statistics, Physics, Computer Science or Engineering
Proven track record in collaborative software development in Python and C++
Excellence in probability theory, partial differential equations, and numerical analysis
Knowledge and work experience in Rates financial products and yield curve construction methods
Attention to detail, adaptable and hungry to learn
Excellent communication skills, both oral and written
Experience in rapid prototyping and agile software methodologies
Experience in working with and manipulating large data sets of e-commerce, historical and financial data
Experience working with ECNs
Experience in micro service architecture, distributed computation and database technologies
Experience in leading and developing small team
Internal Number: 6274575
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