Quantitative Research – Commodities and FX Derivatives Models
A front-office quant research role building cross-asset derivative pricing and diffusion models for commodities and FX. You also support trading desks with P&L attribution, hedging analysis and counterparty credit metrics.
What you’d work on
Our reading of the posting: what a new hire in this role would most likely spend their first months on.
- Develop and test pricing and diffusion models for commodity and FX derivatives
- Calibrate multi-factor models with seasonality and mean reversion
- Maintain C++ computational libraries using Monte Carlo and optimisation methods
- Build P&L attribution and hedging evaluation tools
- Support model review and new trade onboarding, including counterparty exposure checks
What they ask for
Required
- Master's in financial engineering, maths finance or statistics
- 3 years of quant research experience
- No-arbitrage pricing and stochastic calculus
- Calibration of multi-factor models
- C++ for high-performance libraries
- Monte Carlo and numerical methods
Preferred
- Counterparty credit and regulatory capital knowledge
- Machine learning for attribution
- Education
- Master's in financial engineering, mathematical finance, statistics or a related field
- Experience
- 3 years as a quantitative researcher or analyst
- Languages and tools
- Markets
- commodities, fx, credit
How to prepare
- Implement a two-factor commodity model with mean reversion and calibrate it to a forward curve
- Write Monte Carlo pricing code in C++ with parallelisation
- Study FX smile models and their hedging behaviour
- Learn the basics of exposure profiles and CVA
What to study
- Advanced Derivatives and Exotic Options
- Modern C++ for Quantitative Finance
- Derivatives Pricing and Computational Finance
- Counterparty Credit Risk and CVA
The Derivatives Pricing Quant roadmap sets out the stages for this kind of role, with free resources for each.
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Read the full posting on JPMorgan’s site before applying: requirements, location and pay can change after we check them.
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SelfMadeQuant wrote this summary from the employer’s public posting, last checked 6 November 2026. SelfMadeQuant isn’t affiliated with JPMorgan and doesn’t handle applications.