Option dynamics and Ito’s lemma
Quantitative Interview Questions
10,170 quantitative interview questions shared by candidates
Partner interview, the questions asked was centered around what is going on in the market and some macro economical questions were added. Expected more technical questions, but there were very few.
How would you price this (example) derivative?
lot of questions about resume
The PFE profile of products such as options, swap, swaptions...etc.
No particularly difficult question
some coin toss / card problem with follow-ups
6-month treasury bill priced at $98, 1-year treasury priced at $90. What is the 6m-1y forward rate?
The interview was pretty straight forward, first they asked about my past experiences and projects that involved Python as they were interested in someone that is very familiar with the language. Then they asked me questions about the factors that influence change in interest rates, and if i were familiar with the derivatives used to hedge it.
Wide range of tough questions on probability, statistics and algorithms.
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