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CommodityQuant
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Posts: 57
Joined: July 5th, 2007, 6:16 am

Job interview -- complex options

August 30th, 2018, 8:42 am

All the quant-interview materials I've seen focus on very simple products.
However, in actual quant work, the payoffs are very complex.
I would like some guidance in explaining more complex concepts in job interviews, such as volatility targeting and path-dependent coupons for example.
In other words, I'd like to see (if available) materials which cover the reality of quant work for banks instead of idealized 
massively simplified examples.

Thanks for your help,
CommodityQuant
 
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bearish
Posts: 5186
Joined: February 3rd, 2011, 2:19 pm

Re: Job interview -- complex options

August 30th, 2018, 10:30 am

All the quant-interview materials I've seen focus on very simple products.
However, in actual quant work, the payoffs are very complex.
I would like some guidance in explaining more complex concepts in job interviews, such as volatility targeting and path-dependent coupons for example.
In other words, I'd like to see (if available) materials which cover the reality of quant work for banks instead of idealized 
massively simplified examples.

Thanks for your help,
CommodityQuant
In my experience, most quant candidates don’t understand the basic principles of derivatives valuation, so there is no need to move on to complicated stuff. The purpose of an interview is not to cover all aspects of a job, but to try to decide (in a very brief period of time) whether the candidate has a suitable skill set and a good attitude. The more esoteric you make the question, the more likely you are to be testing whether the candidate happens to have encountered this particular problem before, rather than whether she has the general skills to attack the problem in real life, where you will hopefully have more than two minutes to think about it. That being said, I’m happy to ask how to get a sharp gamma estimate for an option on the time spent by a stock price above a certain level (hint: Levy’s arc sine law comes in handy).
 
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secret2
Posts: 9
Joined: July 28th, 2010, 10:29 pm

Re: Job interview -- complex options

September 3rd, 2018, 2:28 am

bearish has it spot on. Simple questions such as replicating a forward, and vanilla pricing in a Black-Scholes universe, are good enough for the purpose. (IMO derivation of B-S formula not so much)