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Duties: Responsible for review and implementation of JPMorgan's proprietary algorithmic indices. Develop and debug algorithmic index rules using Python in embedded system built with C++. Develop mathematic models for pricing, hedging and managing risk of contingent claims on algorithmic indices with underlying equities, interest rates, and FX. Support equity exotic algorithm trading desk on risk decomposition, profit and loss (P&L), pricing failure resolutions, and booking issues. Design and develop new systems for risk decomposition and P&L purpose using advanced C++ programming techniques. Apply stochastic process, finite difference method, probability theory, and other quantitative methods to design, implement, and maintain quantitative models in C, C++, and Python for equity derivative products. Work closely with Model Governance, Valuation Control, and Market Risk groups on approval of new financial products as well as maintenance and control of existing products.
Minimum education and experience required: PhD degree or equivalent in Mathematics, Statistics, Physics, Engineering, or related quantitative field plus 2 years of quantitative research experience in financial industry, or related experience OR Master's degree or equivalent in Mathematics, Statistics, Physics, Engineering, or related quantitative field plus 4 years of quantitative research experience in financial industry, or related experience.
Skills Required: Must have demonstrated knowledge of financial mathematics and associated numerical methods. Must have demonstrated knowledge of stochastic calculus. Must have advanced programming experience with C++. Must have experience with design, analysis, and development of complex large-scale quantitative trading library in C++ across multiple platforms. Must have demonstrated knowledge of equity derivative models and products. Must have experience with implied volatility surface parameterization and fitting algorithm. Must have demonstrated knowledge of stochastic volatility models, forward volatility and skew models. Must have experience with local volatility models and associated calibration. Must have experience translating complex mathematical concepts to trades, structuring, and sales teams. Employer will accept any amount of professional experience with the required skills.