interview

junbum · February 10th, 2006, 11:07 am

Can anyone give me a feel of the questions that major Investment Banks ask their Associates(PhD degrees).I have some interviews aligned up and am getting nervous,i really need help.If someone could say the actual questions they were asked when they were interviewed it might be useful as i would imagine they would ask similar if not same questions.Any books, references other than the routine Crack ,Hull ,Jarrow would help.I heard Rennie and Baxster is a good book for Stochatic Calculus?I am a student Genuinely asking for help so please don't fool around.

Muis · February 11th, 2006, 2:11 pm

You can expect to be asked about Black-Scholes Model.1. How is the model used in practice.2. What is the most important parameter input of the model (The volatility).3. Know what the volatility skew is and why we have it. etc.Personally, I feel that banks don't employ quants that knows allot (such as HJM models etc.) but rather quants that can innovate!So if you can get this message accross you should be in good shape to getting the job.

DominicConnor · February 12th, 2006, 7:36 pm

Probabilitiy questions are also common, like if you throw 100 coins in the air, what's the chances that 50% are heads.