Oxford Math Finance Interview

pp8410 · October 14th, 2009, 8:32 am

I have got an interview with Oxford part-time PG course in Mathematical Finance. and they said:"The interview will last approximately 30 minutes and will be with Professor Sam Howison. It will cover your mathematical background and include some technical questions; no preparation is necessary."Any tips from ex/current grads from this MSc as to what to expect would be much appreciated. Thanks very much!!

pp8410 · October 14th, 2009, 10:34 am

Anyone can help? thanks

EscapeArtist999 · October 14th, 2009, 10:39 am

They said that no preparation is necessary. Get a good night's sleep before the interview, and good luck.

Panang · October 14th, 2009, 11:28 am

Tell him that you are Wilmotts biggest fan

pp8410 · October 14th, 2009, 12:06 pm

thanks EscapeArtist999 and Panang. I will get a good rest and tell the prof that i'm very active on wilmott.com ( 3 posts so far!)However, anyone knows what kind of questions they will ask?

hungryquant · October 14th, 2009, 1:07 pm

Since your being interviwed by a person , rather than taking an exam, its pretty hard to guessbut presumably -basic stats -(what are mean, sd, using normal dirstribution, and simple probability)- differentiation and integrationwould be top of the list of requisitesLook on the course curriculum, what are the subjects You will cover ?

kimkc84 · October 14th, 2009, 1:19 pm

Adding on to what hungryquant said, I would read through a few chapters of Hull, familiarizing yourself with basics of vanilla options. He's been teaching basic probability theory and financial derivatives this term, and I would guess that he's going to ask questions on what's on his mind right now...good luck!

pp8410 · October 14th, 2009, 2:43 pm

thanks hungryquant and kimkc84btw.... it's a telephone interview, so dont think i need to solve any PDE or PDE->BS close form.....Kimkc84: Do you know any student from that part time course?

kimkc84 · October 14th, 2009, 6:47 pm

no i don't, but i know that part-time students are supposed to work out a set of problems and hand it in when they apply. if you take a look at those problems, you'll be able to guess how much math you're supposed to know.

pierpierlu · October 14th, 2009, 7:22 pm

hungryquant and kimkc84 are right. I would add the heat equation.

mj · October 15th, 2009, 10:43 pm

i think the comment about being wilmott's biggest fan was ironic. (it should have been...)

Panang · October 19th, 2009, 12:52 pm

QuoteOriginally posted by: mji think the comment about being wilmott's biggest fan was ironic. (it should have been...)My badHeat equation def the way to go, was the applied math dept only interview qn for the Math Modelling MSc

Amb · October 22nd, 2009, 7:18 am

Hi pp8410,First, you will have to present yourself and what you have done so far. The 'technical' questions will depend essentially on your mathematical background. E.g. if you did some probabilities and stochastic calculus you can expect some questions like: what is a (local) martingale? What is a Brownian motion? What is the central limit theorem? ...I think he could ask what is the heat equation if you have done some PDE (without asking to solve it).All the best for your interview (but maybe have you already had it?)Amb