Under the terms of his switch from Sunderland, the England youth international is due to return to Wearside later this week following six appearances for the Owls.
However, Jones has revealed that he will hold talks with all the necessary parties in attempt to keep hold of the 19-year-old.
"I will sit down with the chairman, talk to Martin O'Neill up at Sunderland and see where we go from here," said Jones. "He's a pleasure to work with and he wants to learn."
Wickham scored his first goal for Wednesday during Saturday's 1-0 win at Leicester City.