Serving the Quantitative Finance Community

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

### Cracking the Finance Quant Interview

Hi all

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?

bearish
Posts: 4762
Joined: February 3rd, 2011, 2:19 pm

### Re: Cracking the Finance Quant Interview

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

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

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

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

Cuchulainn
Posts: 17311
Joined: July 16th, 2004, 7:38 am
Location: Lviv

### Re: Cracking the Finance Quant Interview

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.
planetoid 17300 == 2002 AV_63

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

### Re: Cracking the Finance Quant Interview

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?

mbunea
Posts: 50
Joined: March 26th, 2015, 11:39 am

### Re: Cracking the Finance Quant Interview

I have been contemplating going back to finance after being "out" for 6 years (since 2016), after being "in" for 10 years (2006-2016), after being "out" for 5 years previously (2001-2006). My personal problem is "how to maximize my income" with the use of the current assets I have, while not killing myself in the process.

The current assets that I have:
1) My current income: $55,000 - down from$70,000 some year ago due to USD/RON going from 4 to 5.
2) An IQ of 130 measured accidentally while hangover, otherwise I decline having "it" measured
It might actually reflect the objective truth which is a "worst of both worlds" situation: too dumb to compete
with the 170-200 guys for the dwindling supply of "quant jobs" out there, too self-aware and idealistic for the code monkeys.
3) Making more money, easier, as a "senior software developer" with 20 years of experience than adding "quant" to my title.
I left a "quant" job when I received a 50% increase in my salary for doing just development. Like, half the work, folks!
Recently RBC tried to hire me for their Bucharest office while paying me less than I currently make, and having to
take responsibility to clean up the shit not just after lousy developers but lousy quants who also happened to do some
development. ROFL.

TO BE CONTINUED!

mbunea
Posts: 50
Joined: March 26th, 2015, 11:39 am

### Re: Cracking the Finance Quant Interview

I view these "admission exam" tests as competing with AIs.

I got rejected from the Romanian Technical Military Academy (the local Google of those times) because I didn't study enough. About 10 candidates per 1 job, selected from the finest in the Country. Didn't have a fine enogh coverage of the minute technical questions asked, not to mention the physical aptitude. Physical aptitude test was mind-changing though, I've never in my life withnessed guys not just not trying to kill me in a contest but SAVING ME DURING THE CONTEST. My reference for geek contests so far (chess, math olympiad) was that I'd take your kidney, stuff it up your ass and pull it out of your mouth undigested if that'd get me selected. Evil scentist is not just a trope, it's how these priviledged fucks operate. Anywayz. I collapsed  during the endurance run and two of my competitors (previously raised in high-school military school they told me), brought me to my senses and dispatched me running again.

Next year I didn't rest on my "laurels" of being rejected from the best of the best schools in the country, I continued to besten myself. Next year I dared not apply to the best of the best again so I applied to just the best (best University in Transylvania). Got admitted the first.

And now over again those admission exams. They test for AIs. I'm not an AI but a damned, darned exceptional NI. So fuck yall.

DavidJN
Posts: 179
Joined: July 14th, 2002, 3:00 am

### Re: Cracking the Finance Quant Interview

Do you know what “do not trade” lists in the business are? Well, grasshopper, there are do not hire lists in the businesses as well. And guess how do not hire lists are created and maintained these days? One thing they look at is social media activity. You have just told everyone in the business you think you have a right to work in that they should go and fuck themselves. Can you put two and two together with your astronomical IQ?

mbunea
Posts: 50
Joined: March 26th, 2015, 11:39 am

### Re: Cracking the Finance Quant Interview

>> Well, grasshopper, there are do not hire lists in the businesses as well.

UUU, I'm soo scared.

Seriously, there's hardly anything lamer than the "do not hire" legend.

Collector
Posts: 2518
Joined: August 21st, 2001, 12:37 pm
Contact:

### Re: Cracking the Finance Quant Interview

I ordered the book

"51 Interview Questions and Solutions" will be interesting, but also interesting is:  Jean Peyre (pen name) currently works as a senior quant...(pen name, also called a nom de plume or a literary double, is a pseudonym, wiki )

My first questions if I hire a quant

Collector "Have you read Cracking the Finance Quant Interview book?"

Quant that wants to be hired "Yes"

Collector "You have 30 minutes to Crack who is really behind this book"

Quant after thinking 30 minutes  "It is You?"

Collector "Sorry, No, u are fired", "Next!"

Paul
Posts: 5803
Joined: July 20th, 2001, 3:28 pm

### Re: Cracking the Finance Quant Interview

>> Well, grasshopper, there are do not hire lists in the businesses as well.

UUU, I'm soo scared.

Seriously, there's hardly anything lamer than the "do not hire" legend.
Anyone who uses "grasshopper" has been around a loooong time and is to be taken very seriously.

bearish
Posts: 4762
Joined: February 3rd, 2011, 2:19 pm

### Re: Cracking the Finance Quant Interview

I’ve probably interviewed more quants than most of the remaining survivors around here. In the early years, I found myself asking a lot of brain teasers (Why are man hole covers round? How many windows are there in Manhattan?). I think it made me feel clever, but that was about it. Then I drifted into a period of asking hard, substantial questions, turning the interview into a bit of a shared research discussion. That was more rewarding and making for much better conversations, but didn’t necessarily help me much determine the quality of the candidates. I ultimately settled on asking embarrassingly simple questions, with room to follow up if they get it right. Which happens a lot less frequently than you would like to think.