Forum Navigation:

magazine

FORUMS > Careers Forum < refresh >
Topic Title: quant interview questions
Created On Fri Oct 01, 10 11:38 AM
Topic View:

Pages: [ 1 2 >> Next ]
View thread in raw text format


Gortak
Member

Posts: 35
Joined: Oct 2008

Fri Oct 01, 10 11:38 AM
User is offline

I just bought Mark Joshis Quant Job interview questions.
Going thru the questions, I find them really hard to solve. I am able to solve 25% without my books and maybe another 33% with my books and a lot of time. And there are some questions, where I do not understand the solutions!

I have nerver had a quant interview so far, but I am starting to apply right now. From my friends I heard that interview questions are really very basic and most where easy to answer.
I am applying in Europe.

How do you think about the interview questions in MJ's book? really hard ones? Maybe most are for home exams?

And where else can I get typical quant interview questions(I am actually applying for structuring positions)?

for example the following post includes questions that I cold answer right awayare these too easy, or typical)



first question (c++): what is polymorphism, what is an abstract class? What is a pointer , what a reference?

second question (probability): what is a martingale, a filtration, a brownian motion, conditional expectation? Give a concrete example of all definitions mentioned above.

next question (banking products): what is a bond, a stock option? a swap (btw: do you know Libor rate for US and Euro zone? "More or less 10%" is definitely not the correct answer they exspect..)? Difference between forward and future contract? The whole call / put / long / short / american / european / asian / reverse / delta / gamma / greek stuff... Finally: what is a power reverse dual currency note? Huh? A what?

next question:
"Do you know the reason for the financial situations at the moment?"
"Yes Sir, it is because of the US subprime market"
"And what happens there exactly?"
"ehhmmm..."

next question (here is a paper and a pen): apply ito's lemma to 2^X, is it a martingale?

next question (brain teaser): two hourglasses. one with a duration of 4 minutes, the other with 7 minutes. How to measure 10 minutes? (OK, not sooo tricky you might think, but try to answer this question in front of two angry looking guys and wearing a tie for the first time in your life...)

next question: some taylor series, exp, ln... (quite hard work if your analysis lecture lies far far away in the past)

next question: what is the meaning of Girsonav theorem and how is it applied in finance?

next question (paper and pen again): solving stochastic diff eq. i do not remember exactly the equation (read Oeksendal I-V and you are very well prepared for such questions)

next question: transform black scholes into heat equation (W00t? heat equation? I can hardly spell this word. I was doing number theory for the last few years...)
 
Reply
   
Quote
   
Top
   
Bottom
     



Cuchulainn
Senior Member

Posts: 37516
Joined: Jul 2004

Fri Oct 01, 10 11:46 AM
User is offline

Quote

next question: transform black scholes into heat equation (W00t? heat equation? I can hardly spell this word. I was doing number theory for the last few years...)



Pure maths? The heat equation is A levels/first year maths.

here is

BS --> HE

-------------------------
www.datasimfinancial.com

Edited: Fri Oct 01, 10 at 11:49 AM by Cuchulainn
 
Reply
   
Quote
   
Top
   
Bottom
     



DevonFangs
Senior Member

Posts: 2955
Joined: Nov 2009

Fri Oct 01, 10 03:21 PM
User is offline

Believe me, you will be asked questions MUCH harder than that.

-------------------------
Consideration of various properties of the log-theta-lattice led naturally to the establishment, in the third paper of the series, of multiradial algorithms for constructing "splitting monoids of LGP-monoids".
 
Reply
   
Quote
   
Top
   
Bottom
     



mynetself
Member

Posts: 187
Joined: Mar 2010

Fri Oct 01, 10 09:06 PM
User is offline

Cuchulainn, the heat equation in a finite difference form might be part of A levels/first year maths or physics. Certainly not as a PDE. First year maths you do 1D real analysis. Second year you do n-D real analysis and maybe ordinary differential equations. Third year, only if you choose the appropriate curriculum you get to see PDEs...
 
Reply
   
Quote
   
Top
   
Bottom
     



KackToodles
Senior Member

Posts: 4093
Joined: Aug 2005

Sat Oct 02, 10 07:05 AM
User is offline View users profile

why are those quants asking the questions wearing TIES? If they're wearing ties, they probably don't know what a filtration or girsanov theorem is.

by the way, I have yet to meet anybody who can explain clearly in non-technical words what a filtration is and why it is good to understand what it is.

Edited: Sat Oct 02, 10 at 07:12 AM by KackToodles
 
Reply
   
Quote
   
Top
   
Bottom
     



DevonFangs
Senior Member

Posts: 2955
Joined: Nov 2009

Sun Oct 03, 10 12:29 AM
User is offline

This time the cheers is needed

-------------------------
Consideration of various properties of the log-theta-lattice led naturally to the establishment, in the third paper of the series, of multiradial algorithms for constructing "splitting monoids of LGP-monoids".
 
Reply
   
Quote
   
Top
   
Bottom
     



mrmister
Senior Member

Posts: 225
Joined: Aug 2009

Sun Oct 03, 10 05:14 AM
User is offline

Quote

Originally posted by: KackToodles
why are those quants asking the questions wearing TIES? If they're wearing ties, they probably don't know what a filtration or girsanov theorem is.

by the way, I have yet to meet anybody who can explain clearly in non-technical words what a filtration is and why it is good to understand what it is.


Without going to obscure technical details such as sigma algebras and Borel fields, a filtration can be considered to be all the information that you have available until some specific point in time.

 
Reply
   
Quote
   
Top
   
Bottom
     



Cuchulainn
Senior Member

Posts: 37516
Joined: Jul 2004

Sun Oct 03, 10 12:27 PM
User is offline

Quote

have yet to meet anybody who can explain clearly in non-technical words what a filtration

Because it's not computable? No numbers?

What about computational measure theory?

Most maths can be used to a greater or lesser degree but measure theory is a dead end.

I take it back: A random google showshttp://www.stat.colostate.edu/~estep/research/preprints/BasicInverseProblemApproach_5.pdf

-------------------------
www.datasimfinancial.com

Edited: Sun Oct 03, 10 at 12:34 PM by Cuchulainn
 
Reply
   
Quote
   
Top
   
Bottom
     



KackToodles
Senior Member

Posts: 4093
Joined: Aug 2005

Sun Oct 03, 10 08:14 PM
User is offline View users profile

Quote

Originally posted by: mrmister a filtration can be considered to be all the information that you have available until some specific point in time.
that's a C- answer. Filtrations also include knowledge of the information structure and expectations about future distributions. In other words, you don't have a filtration unless you have in mind specific distributions about future events and probabilities.



Edited: Sun Oct 03, 10 at 08:14 PM by KackToodles
 
Reply
   
Quote
   
Top
   
Bottom
     



EscapeArtist999
Senior Member

Posts: 1619
Joined: May 2009

Sun Oct 03, 10 09:02 PM
User is offline

Quote

Originally posted by: KackToodles
Quote

Originally posted by: mrmister a filtration can be considered to be all the information that you have available until some specific point in time.
that's a C- answer. Filtrations also include knowledge of the information structure and expectations about future distributions. In other words, you don't have a filtration unless you have in mind specific distributions about future events and probabilities.



Actually Kack, you are wrong. The distribution comes from the choice of measure. The filtration has purely to do with (no pun intended) the diffusion of information. Investors will have different expectations about the future, so different probability measures, i.e different distributions, but if you work with an all information is public model, all investors have the same filtration (for example prices series, economic data, and news) However, if you work with investors with access to different information (i.e. material nonpublic, privileged or not) the fitrations do change somewhat - and a number of calculations do boil down to change of measure in the calculations, but that is nopt the setup, nor the way investors experience the market. To an extent the kinds of filtration you have will determine the kinds of probability models you can use. As a very simple example you cuold have a stock price model (binomial) in which case the filtration is all the price possibities up until a certain point in time. you know standard binomial tree stuff, here you are obviously limited by the kind of distributions used (you can after all only have two outcomes). If you stuck to this simple setup, but added another variable say a leading variable (choose your favourite economic indicator that' leading 0 you could then use that as another, so the distribution used at time T would us as inputs the price at time T-1, whatever the indicator is at time T-1 and whatever other parameters you use, the distrubution for the economic variable will also need to be specified to do multi period calciulations. The erason that you never see much by way of fancy filtrations is that option pricing theory eliminates the drift of the underlying in many cases - so ther is no point in modelling that, and I (and do correct me if I am wrong) have not seen much by way of economic studies linking other variables to volatility - that being said you could build out your model and include them if you wanted..... Anyway, enough stream of consciousness lads. Have a good evening.


By the way, if you want a good book to get comfortable with filtrations on an intuitive level, Steve Shreve vol 1 on the Binomial Model is very good, you can lead on into other thoughts from there. I suspect if you find some semi-advanced books on econometrics, or time series, you could find some nice example there too.

Edited: Sun Oct 03, 10 at 11:18 PM by EscapeArtist999
 
Reply
   
Quote
   
Top
   
Bottom
     



mrmister
Senior Member

Posts: 225
Joined: Aug 2009

Sun Oct 03, 10 10:28 PM
User is offline

Quote

Originally posted by: KackToodles
Quote

Originally posted by: mrmister a filtration can be considered to be all the information that you have available until some specific point in time.
that's a C- answer. Filtrations also include knowledge of the information structure and expectations about future distributions. In other words, you don't have a filtration unless you have in mind specific distributions about future events and probabilities.


No wonder you failed in your qualifiers, published rotten stuff and then got kicked out of the academia for good.

 
Reply
   
Quote
   
Top
   
Bottom
     



KackToodles
Senior Member

Posts: 4093
Joined: Aug 2005

Mon Oct 04, 10 12:23 AM
User is offline View users profile

Quote

Originally posted by: EscapeArtist999Actually Kack, you are wrong. The distribution comes from the choice of measure.
Ooops, maybe I should not have nichted the dude who said that during his interview.



Edited: Mon Oct 04, 10 at 12:24 AM by KackToodles
 
Reply
   
Quote
   
Top
   
Bottom
     



tu160
Senior Member

Posts: 362
Joined: Oct 2007

Mon Oct 04, 10 05:52 AM
User is offline

Quote

Originally posted by: KackToodles
Quote

Originally posted by: EscapeArtist999Actually Kack, you are wrong. The distribution comes from the choice of measure.
Ooops, maybe I should not have nichted the dude who said that during his interview.


Call him, may be he is still looking. Could be a big plus for your karma.
 
Reply
   
Quote
   
Top
   
Bottom
     



almostcutmyhair
Member

Posts: 191
Joined: Apr 2009

Mon Oct 04, 10 06:10 AM
User is offline

Quote

Originally posted by: Gortak
next question (here is a paper and a pen): apply ito's lemma to 2^X, is it a martingale?


What is X ?

 
Reply
   
Quote
   
Top
   
Bottom
     



EscapeArtist999
Senior Member

Posts: 1619
Joined: May 2009

Mon Oct 04, 10 12:48 PM
User is offline

Quote

Originally posted by: almostcutmyhair
Quote

Originally posted by: Gortak
next question (here is a paper and a pen): apply ito's lemma to 2^X, is it a martingale?


What is X ?



Probably brownian motion, let's move on people.
 
Reply
   
Quote
   
Top
   
Bottom
     



mj
Senior Member

Posts: 3421
Joined: Dec 2001

Wed Oct 06, 10 12:20 AM
User is offline View users profile

Most of the questions in the book are from live interviews. A few are from written exams.

If you are struggling with the book, it's a sure sign that you aren't ready to go for interviews.


-------------------------
Course on Kooderive -- GPU programming with 100 times speed up in February 2015. www.markjoshi.com
 
Reply
   
Quote
   
Top
   
Bottom
     



Samsaveel
Senior Member

Posts: 379
Joined: Apr 2008

Wed Oct 06, 10 03:26 AM
User is offline

a filteration of a random variable is explained as follows:

let' say we have a stochastic process,we, the observers of the outcomes of this process do not know in advance the law that governs the outcomes of this process.
if we observe the outcomes of this process as time approaches infinity,we will get a space filled with sets with different combinations for the outcome of this process.
let say we somehow keep track of non-overlaspping sets of the outcomes and get the total number of outcomes in the space of this random process,then it follows that we can calculate the probabilities associated with the outcomes and hopefully be able to plot the law of this random process.

The question is.how can we be sure that if we observe the outcomes of the process with sufficient time,that all the realizations of this process materilaze and we are not observing a repetition of the outcomes?

Edited: Wed Oct 06, 10 at 03:31 AM by Samsaveel
 
Reply
   
Quote
   
Top
   
Bottom
     



KackToodles
Senior Member

Posts: 4093
Joined: Aug 2005

Wed Oct 06, 10 06:16 AM
User is offline View users profile

Quote

Originally posted by: mjIf you are struggling with the book, it's a sure sign that you aren't ready to go for interviews.
Let's me get this straight. We have two choices:
1) try to pass tough brain teaser interviews to get a programming job
OR
2) pass fluffy investment bank interviews to get an easy job with lots of travel and possibly more pay.

If you are struggling with the brain teasers, why not try option 2?

 
Reply
   
Quote
   
Top
   
Bottom
     



KackToodles
Senior Member

Posts: 4093
Joined: Aug 2005

Wed Oct 06, 10 06:21 AM
User is offline View users profile

Quote

Originally posted by: SamsaveelThe question is.how can we be sure that if we observe the outcomes of the process with sufficient time,that all the realizations of this process materilaze and we are not observing a repetition of the outcomes?
We can't. That's why all models are just models and WILL break down, aka, LTCM.



Edited: Wed Oct 06, 10 at 06:21 AM by KackToodles
 
Reply
   
Quote
   
Top
   
Bottom
     



EscapeArtist999
Senior Member

Posts: 1619
Joined: May 2009

Wed Oct 06, 10 09:08 AM
User is offline

Quote

Originally posted by: KackToodles
Quote

Originally posted by: mjIf you are struggling with the book, it's a sure sign that you aren't ready to go for interviews.
Let's me get this straight. We have two choices:
1) try to pass tough brain teaser interviews to get a programming job
OR
2) pass fluffy investment bank interviews to get an easy job with lots of travel and possibly more pay.

If you are struggling with the brain teasers, why not try option 2?


Kack, someone with a PhD, or heavy programming background, or an immigrant (more for the US this) will find it IMPOSSIBLE to get an investment banking interview, period, no ifs ands or buts... They aren't considered cool, they aren't considered insightful, and worst of all they aren't part of "the club" - so f*ck em. Believe me that is the prevailing attitude that people in IBs have, they just don't consciously know it.... Kack, remember not everyone can purchase the title of prince (i.e. buy an MBA) only a chosen few...



Edited: Wed Oct 06, 10 at 09:10 AM by EscapeArtist999
 
Reply
   
Quote
   
Top
   
Bottom
     

Pages: [ 1 2 >> Next ]
View thread in raw text format
FORUMS > Careers Forum < refresh >

Forum Navigation:

© All material, including contents and design, copyright Wilmott Electronic Media Limited - FuseTalk 4.01 © 1999-2014 FuseTalk Inc. Terms & Conditions