Fixed Income Quant Research & Trading Developer

JPMorgan Chase & Co.

Greater London

On-site

GBP 110,000 - 190,000

Full time

14 days+

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Job summary

JPMorgan Chase & Co. is seeking a Quantitative Researcher / Developer, Associate, in the Fixed Income QTR team.

You will provide advanced modelling solutions for the Fixed Income business, combining deep mathematical rigour with strong software engineering to deliver pricing, risk and hedging models to the trading desk. You will work on stochastic processes, martingale pricing, PDEs and Monte Carlo methods, translating them into production-ready implementations within our quant library and risk

Qualifications

Advanced degree (MSc or PhD) in mathematics, physics, engineering, statistics or a closely related quantitative discipline.
Strong command of stochastic calculus, probability theory, numerical analysis and PDE/Monte Carlo techniques applied to derivatives pricing and risk.
Solid understanding of fixed income analytics: term-structure, yield-curve construction, multi-curve and CSA discounting.

Responsibilities

Develop advanced analytical, pricing and risk-management models for fixed income products using rigorous mathematics.
Develop risk and sensitivity techniques including adjoint/algorithmic differentiation and hedge construction.
Design and maintain term-structure and multi-curve frameworks across curves and volatility surfaces.
Implement models in the quant library and trading/risk platforms with rigorous testing and documentation.
Deliver pricing, risk and hedging capabilities to production trading desks.
Collaborate with traders and the broader quant team to identify improvements and opportunities.