At the first interview the question was about valuation and replication of an exotic put option. For the second interview I received a case study with bond contract and a time series of a yield curve. My job was to calculate the z-spread for the bond and present the work for the group. The code was supposed to be done in Python.
Cannot disclose specifics, but no surprises. Overall they test for mathematical maturity without any finance specific requirements, contrary to rumors.
There were several trading games and seeing how one approaches problems of trading of risk and expected value, as well as testing if one could spot arbitrage opportunities.
It is different from all interviews I had before. It is a market making question, and I need to bet and evaluate the value of each decision, and estimate my total profit and loss, which is something I've never seen.
Regular Math oriented mental calculation questions
Other than your hard qualifications, what soft skills are useful for this role?
math calculation, number memorization, logic, number sequence.
Tech interview includes finding arbitrage and play trading game in a pre-set horse racing setting.
Tournament style game with relative expected winning probability
some math puzzles such as counting squares in a maze.
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