Quantitative Research - Core Analytics Development - Associate or Vice President

Opportunity

JP Morgan spends more than $9 billion a year to be at the forefront of technological innovation. Leveraging petascale compute clusters, Quantitative Researchers develop and maintain sophisticated mathematical models, cutting-edge methodologies and infrastructure to value and hedge financial transactions ranging from vanilla flow products to high- and low-frequency trading algorithms. We are looking for a new member to join a core Quant team that has a specific expertise in computational science.

Responsibilities

• Developing in a C++/CUDA/Python software library that prices derivatives and calculates risks.
• Implementation of efficient algorithms, exploitation of vectorization and parallelization, compilers, architecture of cross-asset pricing engines and core library frameworks.
• Development and support of a scalable continuous integration infrastructure to manage the complexity of a large shared QR codebase.
• Efficient library and interface design to optimize the interaction between the quant library and risk management system.
• Optimization of the code for specific hardware, from today’s production staples to future disruptive innovations.
• Support of end users of the library and communicating with desk-aligned quant teams and technology groups.

Essential skills and qualifications

• A postgraduate degree (preferably PhD), or equivalent, in a quantitative field, e.g. computer science, mathematics, engineering, physics, or finance
• Excellent software and algorithm design and development skills, particularly in C++
• Outstanding problem solving skills
• Basic understanding of numerical methods, probability and foundations of quantitative finance to ensure that detailed model knowledge can be picked up if required

Preferred qualifications

• Experience in parallel programming, e.g. TBB, OpenMP, CUDA or OpenCL
• Python, Java, Perl and web programming skills
• Previous work experience as a software developer or a quant