Quantitative Research (Multiple Positions Available)
DESCRIPTION:
Duties: Conduct quantitative research and develop software to support pricing and risk management for interest rate derivatives. Design, implement, and optimize mathematical models in C++ and Python to price and manage risk for linear and non-linear interest rate derivatives. Develop and maintain risk engine frameworks to calculate and analyze exposures across interest rate products in developed and emerging markets. Integrate model outputs into the firm's risk infrastructure to support both intraday and end-of-day risk processes. Utilize techniques including risk-neutral valuation, interest rate curve construction, and pricing of FX linear products to address quantitative finance challenges. Create and refine analytical tools for risk management, asset optimization, pricing, and relative value analysis. Apply statistical analysis to market movement and trade data for model calibration and validation. Apply numerical methods in linear algebra, partial differential equations, and optimization to enhance model accuracy and computational efficiency. Produce comprehensive documentation detailing model specifications, implementation testing, and validation procedures to ensure transparency and compliance. Create and maintain documentation for model specifications, calibration methodologies, testing results, and deployment procedures to support regulatory and audit requirements. Ensure interoperability with existing risk systems and optimize computational performance using parallelization, distributed computing, and modern software engineering methods. Develop cross-platform analytics and abstraction layers to ensure compatibility, modularity, and scalability across proprietary systems leveraging advanced object-oriented programming and design principles. Maintain, debug, and improve trader-facing applications used in pricing, trading, and risk monitoring. Review and manage overnight batch pricing and risk processes, resolving technical issues to ensure reliable and accurate execution. Consult with traders and other financial professionals to identify requirements for new or enhanced analytics and to guide the development of quantitative techniques. Collaborate with trading desks to identify risk factors, interpret model behavior, assist with hedging strategies, and implement trader feedback into analytical design. Provide technical leadership and mentorship to junior team members, promoting consistent standards across the risk platform.
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QUALIFICATIONS:
Minimum education and experience required: Master's degree in Management Information Systems, Computational Finance, Financial Engineering, Computer Science, Mathematics, or related quantitative field of study plus seven (7) years of experience in the job offered or as Quantitative Research, Rates Structuring/Risk/Pricing, Financial Software Engineer, or related quantitative occupation in the financial interest rate derivatives industry.
Skills Required: This position requires seven (7) years of experience with financial software development, focusing on risk management and pricing and working with fixed income products and markets. This position requires five (5) years of experience developing pricing and risk analytics using C++ and Python; and designing & implementing large-scale financial software. This position requires three (3) years of experience with the following skills: Interest rate curve construction methodologies including OIS and LIBOR/SOFR bootstrapping and global optimization; pricing of FX linear products including deliverable and non-deliverable forwards; interest rate swap pricing and valuation techniques; applying statistical analysis to trading and market movement data; numerical methods in linear algebra, partial differential equations, and optimization; mathematics of financial systems, including probability and statistics for financial modelling; risk-neutral valuation of interest rate derivatives; data systems, including SQL and NoSQL, for financial data management; distributed computing and performance optimization for large-scale analytics; risk management platforms such as Athena, Quartz, or SecDB; financial market data platforms such as Reuters Market Data System (RMDS) or similar platform; and integrating analytics into enterprise systems using Java.
Job Location: 383 Madison Avenue, New York, NY 10179
Full-Time. Salary: $215,000 - $350,000 per year.
ABOUT US
JPMorganChase, one of the oldest financial institutions, offers innovative financial solutions to millions of consumers, small businesses and many of the world's most prominent corporate, institutional and government clients under the J.P. Morgan and Chase brands. Our history spans over 200 years and today we are a leader in investment banking, consumer and small business banking, commercial banking, financial transaction processing and asset management.
We offer a competitive total rewards package including base salary determined based on the role, experience, skill set and location. Those in eligible roles may receive commission-based pay and/or discretionary incentive compensation, paid in the form of cash and/or forfeitable equity, awarded in recognition of individual achievements and contributions. We also offer a range of benefits and programs to meet employee needs, based on eligibility. These benefits include comprehensive health care coverage, on-site health and wellness centers, a retirement savings plan, backup childcare, tuition reimbursement, mental health support, financial coaching and more. Additional details about total compensation and benefits will be provided during the hiring process.
We recognize that our people are our strength and the diverse talents they bring to our global workforce are directly linked to our success. We are an equal opportunity employer and place a high value on diversity and inclusion at our company. We do not discriminate on the basis of any protected attribute, including race, religion, color, national origin, gender, sexual orientation, gender identity, gender expression, age, marital or veteran status, pregnancy or disability, or any other basis protected under applicable law. We also make reasonable accommodations for applicants' and employees' religious practices and beliefs, as well as mental health or physical disability needs. Visit our FAQs for more information about requesting an accommodation.
JPMorgan Chase & Co. is an Equal Opportunity Employer, including Disability/Veterans
ABOUT THE TEAM
J.P. Morgan's Commercial & Investment Bank is a global leader across banking, markets, securities services and payments. Corporations, governments and institutions throughout the world entrust us with their business in more than 100 countries. The Commercial & Investment Bank provides strategic advice, raises capital, manages risk and extends liquidity in markets around the world.
Perks and Benefits
Health and Wellness
Parental Benefits
Work Flexibility
Office Life and Perks
Vacation and Time Off
Financial and Retirement
Professional Development
Diversity and Inclusion