How would you price this (example) derivative?
Quantitative Associate Interview Questions
10,168 quantitative associate interview questions shared by candidates
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.
Q: Monte Carlo method to calculate some integral
How do you speed up the convergence of a Monte Carlo simulation? Do you know anything about C++ templates / Python @classmethod decorator / how to verify the properties of a pseudorandom generator? Also, specific questions about choices and assumptions made in case study. Presentation lasted 10-12 minutes, but Q&A lasted four times as long.
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