Lots of "Green book" style questions. Got really exhausted by the end of the 4 hour on-site. One thing that I didn't like is that the interviewer asked me to give a presentation on my research as if I am talking to a conference, without being told to prepare this ahead of time. She even asked if I had slides! Other than that people were generally friendly.
Regular math problems within 1 hour
Volatility forecasting using order book data was the take home assignment.
A rabbit is trying to get from point A (0,0) to point B (12,8) without overshooting, but he can only move up or right. He always alternates his step sizes between moving 2 units in a single direction and moving 4 units in a single direction. Compute the number of ways the rabbit can start at point A and end at point B.
Q. Tell us about your past experience. Q. Some probability questions.
Calculate expected payoff of a coin toss game and decide on optimal strategy to play this game.
Basic coin flipping, bayesian rule
Typical probability game strategy questions.
What is the expected payoff of a game in which you win whatever a die roll shows? What if you can re-roll the die?
How did you develop your interest in finance?
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