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jeanpeyre
Topic Author
Posts: 5
Joined: August 4th, 2020, 12:22 am

Cracking the Finance Quant Interview

August 5th, 2020, 11:16 pm

Hi all

I would like to share this book just published on amazon

Cracking the Finance Quant Interview: 51 Interview Questions and Solutions
https://www.amazon.com/dp/B08D4F8RJP

You can preview brainteasers with the "look inside" button on amazon. I will add a few questions here

Two sided corridor with rates:
Let Bt be a Brownian Motion and u and d two positive real numbers. We consider an option which pays 1 if Bt reaches u and remained greater then−d since inception
∃ t0 : Bt0=u ; ∀ t ∈ [0,t0] , Bt>−d
payment is made when the barrier is touched. Calculate the price of this option with rates r >0.

The binary hedge:
A trader suggests the following binary hedging strategy for a call option:
•sell a call option at strike K > S0
•buy the stock at K when St is increasing and crosses K
•sell the stock at K when St is decreasing and crosses K
What is wrong with this strategy?

End of times:
Let Xn be a sequence of positive random variables, such that E[Xn] =a and
limn→+∞Xn= 0 a.s
show that limn→+∞E|Xn−K|=a+K
Can this result be applied to a financial option?
 
User avatar
bearish
Posts: 5903
Joined: February 3rd, 2011, 2:19 pm

Re: Cracking the Finance Quant Interview

August 6th, 2020, 12:32 am

The 90’s called. They would like their interview questions back.
 
jeanpeyre
Topic Author
Posts: 5
Joined: August 4th, 2020, 12:22 am

Re: Cracking the Finance Quant Interview

August 6th, 2020, 9:55 am

The 90’s called. They would like their interview questions back.
Hey Bearish. I dont know if we could call them questions from the 90's, but I can guarantee you that we saw these questions being asked in the designated banks in the period 2019-2020.
 
jeanpeyre
Topic Author
Posts: 5
Joined: August 4th, 2020, 12:22 am

Re: Cracking the Finance Quant Interview

August 31st, 2020, 1:57 pm

Hi guys
Just letting you know we have added the answers to some of the Gresearch quant sample. The book has now 61 questions, take the opportunity to grab it a 10USD as we will set the price at 15USD soon with 65 questions and answers.
 
jeanpeyre
Topic Author
Posts: 5
Joined: August 4th, 2020, 12:22 am

Re: Cracking the Finance Quant Interview

September 28th, 2020, 3:44 pm

Hi All

Thanks again for the support and the feedback. Hundreds of copies sold already, great feedback and suggestions from you guys, which helped correct few typos and design the new edition. So we are now releasing the Cracking the Finance Quant Interview 75 questions and answers, with a slightly larger print (7/10) for a more comfortable reading experience. And, as usual, if you like the book, please spare a minute to drop us a rating, the amazon algorithm is all about that.

https://www.amazon.com/gp/product/B08JDTRM83

Image
 
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Cuchulainn
Posts: 63263
Joined: July 16th, 2004, 7:38 am
Location: Amsterdam
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Re: Cracking the Finance Quant Interview

September 28th, 2020, 8:28 pm

How about this one in a 2nd edition?

How to compute [$]e^5[$] with two decimal places?

viewtopic.php?f=26&t=79451

The interesting part is testing analytical thinking in addition to mind-numbing rote learning.
Chips chips chips Du du du du du Ci bum ci bum bum Du du du du du Ci bum ci bum bum Du du du du du
http://www.datasimfinancial.com
http://www.datasim.nl
 
jeanpeyre
Topic Author
Posts: 5
Joined: August 4th, 2020, 12:22 am

Re: Cracking the Finance Quant Interview

September 29th, 2020, 2:34 pm

How about this one in a 2nd edition?

How to compute [$]e^5[$] with two decimal places?
It sounds interesting, we might add it. We try to stick to real interview questions, was this question recently asked in a quant interview, and if yes which company?
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