Quantitative Trading & Research - Fixed Income - Associate

Next Frontier Capital; Greater London; On-site; GBP 90,000 - 130,000; Full time

Job summary

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.

Qualifications

• 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.

Responsibilities

• 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.

Skills

Stochastic calculus

Probability theory

Numerical analysis

PDE/Monte Carlo methods

Analytical thinking

Communication skills

Software engineering

C++ development

Education

MSc or PhD in quantitative field

Tools

SecDB/Beacon

Python

Rust

Job description

The Fixed Income Quantitative Trading & Research (QTR) team's mission is to develop and maintain the sophisticated mathematical models, cutting-edge methodologies and infrastructure used to value and hedge fixed income transactions - from vanilla flow products to complex exotic derivatives - as well as to improve the performance of algorithmic trading strategies and deliver advanced electronic solutions to our clients worldwide. This work spans the full quantitative stack: arbitrage-free pricing, term-structure and yield-curve analytics, and the analytical computation of risk and sensitivities that the desk relies on to hedge. If you are passionate about applied mathematics, curious, and ready to make an impact, we are looking for you.

Job summary

As a Quantitative Researcher / Developer, Associate, in the Fixed Income QTR team, you will provide advanced modelling solutions to the Fixed Income business. Your work will combine deep mathematical rigour - stochastic calculus, PDEs, numerical methods and the theory of the term structure - with solid software engineering to deliver best-in-class pricing, risk and hedging models to the trading desk.

Job responsibilities

• 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/OIS 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

Required qualifications, capabilities, and skills

• Advanced degree (MSc or PhD) in mathematics, physics, engineering, statistics or a closely related quantitative discipline, with demonstrable strength in advanced mathematics

• Strong command of stochastic calculus, probability theory, numerical analysis and PDE / Monte Carlo techniques as applied to derivatives pricing and risk

• Solid understanding of fixed income analytics and risk - term-structure and yield-curve construction, multi-curve and CSA discounting, sensitivities and hedging, and the underlying mathematics

• 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

Preferred qualifications, capabilities, and skills

• Deep understanding of derivatives pricing theory and standard fixed income models (short-rate, HJM, LMM and beyond)

• Experience with analytical/adjoint differentiation (AAD) or other efficient risk-computation techniques

• Additional experience with Python or Rust

• Prior experience in a front-office derivatives trading environment

• Experience with SecDB / Beacon (or a similar quant platform)

J.P. Morgan is a global leader in financial services, providing strategic advice and products to the world's most prominent corporations, governments, wealthy individuals and institutional investors. Our first-class business in a first-class way approach to serving clients drives everything we do. We strive to build trusted, long-term partnerships to help our clients achieve their business objectives.
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.

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. As a Quantitative Researcher / Developer, Associate, in the Fixed Income QTR team, you will provide advanced modelling solutions to the Fixed Income business.