The only two I remember from the phone calls: 1) Consider a triangle of uniform probability defined by points (0,0), (0,1),(1,0) . What is the least square line that fits this data? 2) Monty hall problem (yawn)
Quantitative Analyst Interview Questions
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Why Citi?
understanding of BSM option pricing formula, swaps, DCF, short rate models
1. give a sort algorithm
1st question they asked me to find the expected value of 2 12-sided die. 2nd question they asked me which would I rather do, roll one 12-sided die and double the number or roll 2 12 sided die and add them together. If the number is <13, then your payoff is 0, and if It's over 13 your payoff is whatever number you get.
You are working for Starbucks. There’s currently an issue with training the baristas to make drinks as there are too many permutations. Estimate how many different drinks there are at Starbucks?
Statics question difference between correlation and independence.
There are 25 horses and a track where you can race 5 of them at a time. What is the minimum number of races needed in order to find the top 3 horses?
Previous salary and experience. Mastery of English Language Basic properties of Black-Scholes models and risk-neutral measures Bond pricing and convexity hedging Elementary probability models (cards, binomial distributions, gaussian limits of LLN) Programming: some pseudocode for some simple numerical interpolation routines
What models suit when doing this time series
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