The role involves pricing and managing equity derivatives, executing trades, analyzing market conditions, and collaborating on pricing models using advanced mathematical techniques and Python programming.
Job Description
DESCRIPTION:
Duties: Pricing and optimally executing equity derivatives transactions using advanced mathematical/stochastic pricing models and numerical techniques such as Monte Carlo simulation and lattice methods. Analyzing, optimizing, hedging and managing risks of equity derivatives portfolios by monitoring current and historical market conditions and portfolio's structure. Reconciling P&L figures of portfolios by tracking, analyzing, and interpreting market factors (yields, dividends, and implied volatility) and calibrated pricing model parameters that affecting portfolio's fair value and behavior. Using financial and scenario analysis to generate end of day portfolio reports and prepare plans for action for next day's trading activities. Evaluating and understanding the quality and strengths of a broad range of equity derivatives under different financial and economic conditions to optimize portfolio's positions in different scenarios. Understanding the theory behind and the specifics of implementation of derivatives pricing models and model behaviors under different market conditions to improve the accuracy of risk management. Applying mathematical and statistical modeling techniques (regression analysis, etc.) to interpret current financial market and economic conditions to better predict economic and investment trends, understand portfolio behaviors, and generate more trading strategies to optimize and risk manage EQD portfolios. Code in Python to develop trading tools to automate daily trade lifecycle events management and generating various trading/financial reports (risk scenario report, portfolio position report, model calibration report, etc.) for derivatives trading business. Collaborating with quantitative analysts to enhance existing pricing models and develop next generation of advanced pricing models and algorithms to more accurately price equity derivative products. Conducting market research by applying cutting edge mathematical models and technologies to contribute to business growth. This position requires up to 10% domestic and international travel.
QUALIFICATIONS:
Minimum education and experience required: Master's degree in Financial Engineering, Finance, or related field of study plus three (3) years of experience in the job offered or as Equity Derivatives Trader; Structured Products Manager; Analyst, or related occupation.
Skills Required: This position requires two (2) years of experience with the following: Scripting programming languages, including Python 3.7 with experience with data science libraries including: pandas, numpy, seaborn, sci-kit learn, and statsmodels; Modern mathematical methods used to estimate the fair value of equity derivatives (including options, variances swaps, volatility swaps) including: diffusive stochastic processes (including geometric Brownian motion with local volatility) and numerical methods including: Monte Carlo, finite difference methods; applying statistical (including PCA, linear and logistic regression, time series analysis) and machine learning methods (regularization, clustering algorithms) to financial data sets; working with stochastic volatility models (including Local Volatility, Local-Stochastic Volatility) and their impact on pricing and risk management of a portfolio of options and variance/volatility swaps; Risk-managing all aspects of a portfolio of structured equity-linked investment notes (rates and funding spread hedging, replicating risk with vanilla options); Generating, maintaining, risk managing and improving systematic investment strategies in equity volatility space, including those involving significant second-order (including vanna, volga) and nonlinear exposures to volatility (including VIX futures); working with the factors that affect supply/demand of exotic equity- linked derivatives (including VKOs, RKO, binary options) and the impact that their rebalancing has on different parts of the volatility surface.
Job Location: 383 Madison Avenue, New York, NY 10179. This position requires up to 10% domestic and international travel.
Full-Time. Salary: $285,000 - $285,000 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.
DESCRIPTION:
Duties: Pricing and optimally executing equity derivatives transactions using advanced mathematical/stochastic pricing models and numerical techniques such as Monte Carlo simulation and lattice methods. Analyzing, optimizing, hedging and managing risks of equity derivatives portfolios by monitoring current and historical market conditions and portfolio's structure. Reconciling P&L figures of portfolios by tracking, analyzing, and interpreting market factors (yields, dividends, and implied volatility) and calibrated pricing model parameters that affecting portfolio's fair value and behavior. Using financial and scenario analysis to generate end of day portfolio reports and prepare plans for action for next day's trading activities. Evaluating and understanding the quality and strengths of a broad range of equity derivatives under different financial and economic conditions to optimize portfolio's positions in different scenarios. Understanding the theory behind and the specifics of implementation of derivatives pricing models and model behaviors under different market conditions to improve the accuracy of risk management. Applying mathematical and statistical modeling techniques (regression analysis, etc.) to interpret current financial market and economic conditions to better predict economic and investment trends, understand portfolio behaviors, and generate more trading strategies to optimize and risk manage EQD portfolios. Code in Python to develop trading tools to automate daily trade lifecycle events management and generating various trading/financial reports (risk scenario report, portfolio position report, model calibration report, etc.) for derivatives trading business. Collaborating with quantitative analysts to enhance existing pricing models and develop next generation of advanced pricing models and algorithms to more accurately price equity derivative products. Conducting market research by applying cutting edge mathematical models and technologies to contribute to business growth. This position requires up to 10% domestic and international travel.
QUALIFICATIONS:
Minimum education and experience required: Master's degree in Financial Engineering, Finance, or related field of study plus three (3) years of experience in the job offered or as Equity Derivatives Trader; Structured Products Manager; Analyst, or related occupation.
Skills Required: This position requires two (2) years of experience with the following: Scripting programming languages, including Python 3.7 with experience with data science libraries including: pandas, numpy, seaborn, sci-kit learn, and statsmodels; Modern mathematical methods used to estimate the fair value of equity derivatives (including options, variances swaps, volatility swaps) including: diffusive stochastic processes (including geometric Brownian motion with local volatility) and numerical methods including: Monte Carlo, finite difference methods; applying statistical (including PCA, linear and logistic regression, time series analysis) and machine learning methods (regularization, clustering algorithms) to financial data sets; working with stochastic volatility models (including Local Volatility, Local-Stochastic Volatility) and their impact on pricing and risk management of a portfolio of options and variance/volatility swaps; Risk-managing all aspects of a portfolio of structured equity-linked investment notes (rates and funding spread hedging, replicating risk with vanilla options); Generating, maintaining, risk managing and improving systematic investment strategies in equity volatility space, including those involving significant second-order (including vanna, volga) and nonlinear exposures to volatility (including VIX futures); working with the factors that affect supply/demand of exotic equity- linked derivatives (including VKOs, RKO, binary options) and the impact that their rebalancing has on different parts of the volatility surface.
Job Location: 383 Madison Avenue, New York, NY 10179. This position requires up to 10% domestic and international travel.
Full-Time. Salary: $285,000 - $285,000 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.
Top Skills
Finite Difference Methods
Monte Carlo
Numpy
Pandas
Python 3.7
Scikit Learn
Seaborn
Statsmodels
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