5-6 rounds - mix of coding, probability puzzles, resume and finance. Standard questions on dynamic programming, questions on binary search (searching for an element in bitonic array, basic dynamic programming like maximum sum to reach the last cell). Some questions on option pricing, greeks and trading of structured products.
whats your sharpe ratio over the past year
What's a recent market trend you're following?
What is limitations of local vol model?
Pandas questions. Algorithm questions like sorting. Knowledge of quant research. Past experience.
the assessment is quite hard, including some graphics teasers.
portfolio replication on an exotic option
Probability and game theory questions
In the 2nd round, one director ask me about the how the option price changes if the price distribution is skewed. Because it is an electricity company, they do not trade any options, nor there is such kind of business in that company. It is quite unexpected.
Well-covered by maths, statistics, finance and programming. Topics include stochastic, calculus, linear algebra, derivatives, numerical analysis and algorithm, Practice is the key. The book "A Practical Guide to Quantitative Interview" was of great help especially for brainteasers. Also be prepared for the algorithm questions.
Viewing 9841 - 9850 interview questions