Quantitative Research Equity Derivative Modelling

About the role

Quantitative Research Equity Derivative Modelling Associate / Vice President role at JPMorgan Chase Bank focuses on developing and maintaining sophisticated mathematical models for pricing, hedging, and risk measurement of equity derivatives. The position requires an advanced degree in engineering, mathematics, physics, or computer science, strong expertise in probability theory, stochastic calculus, PDEs, numerical analysis, and optimization, and proficiency in C++/Python programming. Candidates will design efficient numerical algorithms, implement high-performance computing solutions, assess model risk, conduct scenario analyses, and collaborate with stakeholders across the global QR Equities team. The role offers an opportunity to influence model development, ensure robust testing, and contribute to the bank’s risk analytics capabilities.

What you’ll do

• Develop mathematical models for pricing, hedging, and risk measurement of equity derivatives.
• Identify portfolio risk sources and conduct scenario analyses.
• Assess model appropriateness and monitor model risk.
• Implement valuation models and algorithmic trading modules in software.
• Design efficient numerical algorithms and high-performance computing solutions.

What you’ll bring

• Advanced degree (PhD, MSc or equivalent) in Engineering, Mathematics, Physics, or Computer Science.
• Strong background in probability theory, stochastic calculus, PDEs, numerical analysis, optimization.
• Proficient in C++/Python programming and code design.
• Excellent verbal and written communication skills.
• Ability to assess model risk and conduct scenario analyses.

Nice to have

• Familiarity with options pricing theory and equity derivative products.
• Experience with data schemas and data structures.
• Robust testing and verification practices.
• Academic research publications.

Skills

Education

Advanced degree