Let's generate u1,u2.. from a uniforme distribution in [0,1]. What is the average stopping time T for the sum (u1+..+uT) to be greater than 1 ?
Quant Analyst Interview Questions
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Suppose 30-day volatility was at a given level, approximate 1 year volatility?
What would make you comfortable staying with the FactSet organization for the next 10 years?
Take home assignment case study... usual bank balance sheet modelling.
For the 1:1 interview I got first one medium question: a) painting with true price x between 0 and 1000, you can place a bid offer b anywhere, if you're below nothing happens, if you're above you pay it at b and sell it to a friend for 1.5x, what's your bid? Question two was: You begin with $100. You flip a fair coin. Heads, you get 1$. Tails, your money gets inversed (i.e. first tails, your money is now 1/100). What is the expected value after 10 flips? sol: a) quite interesting, the idea is to split in two events: either you're below and nothing happens, or you're above and you get 1.5x - b, the trick is that when you're in that event, the expected value for x is b/2, so you're expected to get -b/4 which is negative, so you shouldn't place any bet! b) For this one I got these hints: - what happens if you have just 2 coins? - what are your expected end results? - do you think there are more than 10 ways to get end with more than 100? Basically the idea is the compute the first values and observe that they form a Fibonacci sequence pattern, and thus intuite that the final expected value for n=10 is around F(n+1)/(2^n)
2 probability and 2 behavior 1: given 50 white and 50 black balls, 2 box, how to allocate the balls so that you pick one from the box have the highest probability and lowest probability of getting the white ball. 2. how to allocate time 3.favourite course
Explained a Game to me. Then asked to think of the óptimal way of playing It.
Explain how you would hedge a digital option
They wanted to know about everything about my company, including trading strategies, how certain structured products are priced, how our model incorporated changes to the volatility surface, certain algorithm details etc.
Given rank(A) = k, what is rank(A^TA) and prove the result.
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