Innovative Fixed Income Quant Researcher & Developer

Aumni; Greater London; Vor Ort; GBP 90.000 - 130.000; Vollzeit

Zusammenfassung

J.P. Morgan is seeking a Quantitative Researcher/Developer, Associate, to provide advanced modelling solutions for fixed income pricing, risk and hedging.

You will combine rigorous mathematics with software engineering to deliver top-tier models to the trading desk. The role involves developing pricing and risk models, implementing in the quant library, validating results, and collaborating with traders across curves and volatility surfaces.

Qualifikationen

• Advanced degree in math/physics/engineering/statistics or related field.
• Strong command of stochastic calculus and PDE/Monte Carlo methods.
• Solid understanding of fixed income analytics and risk — term-structure and yield-curve construction, multi-curve and CSA discounting, sensitivities and hedging.
• Outstanding analytical and problem-solving abilities.
• Strong written and oral communication skills, including the ability to explain mathematical concepts clearly.
• Strong coding and software engineering skills with a passion for technical excellence.
• Professional C++ development experience.

Aufgaben

• Develop advanced analytical, pricing and risk-management models for fixed income products, grounded in rigorous mathematics - stochastic processes, martingale pricing, PDE and Monte Carlo methods, and numerical optimisation.
• Develop analytical risk and sensitivity techniques - closed-form and adjoint/algorithmic-differentiation Greeks, risk decomposition and attribution, and efficient hedge construction across curves and volatility surfaces.
• Design and maintain term-structure and multi-curve frameworks: yield-curve construction, dual-curve and CSA discounting, basis modelling, and consistent interpolation and calibration methodologies.
• Implement these models in our quant library and trading/risk platforms, carrying out rigorous numerical testing, validation and documentation.
• Deliver these models to production.
• Work closely with traders and the wider quant team to solve problems, analyse curve, risk and volatility behaviour, and identify opportunities.

Kenntnisse

Stochastic calculus

Probability theory

Numerical analysis

PDE/Monte Carlo methods

Analytical thinking

Communication skills

Software engineering

C++ development

Ausbildung

MSc or PhD in quantitative field

Tools

SecDB/Beacon

Python

Rust

Jobbeschreibung

J.P. Morgan is seeking a Quantitative Researcher/Developer, Associate, to provide advanced modelling solutions for fixed income pricing, risk and hedging.

You will combine rigorous mathematics with software engineering to deliver top-tier models to the trading desk. The role involves developing pricing and risk models, implementing in the quant library, validating results, and collaborating with traders across curves and volatility surfaces.