Quant interview questions

496 questions · page 3 of 13 · Clear filters

• What is the value of the floating leg of a standard interest rate swap…Time value, rates and linear products · Applied
• Spot is 1.10 dollars per euro, the one-year dollar rate is 5% and the euro rate is 3%.Time value, rates and linear products · Applied
• A $500,000 loan amortises over thirty years at 6% with annual payments.Time value, rates and linear products · Applied
• Using the stock above, whose fair one-year forward is $102.02, a dealer quotes…Time value, rates and linear products · Applied
• A commodity trades at $80.Time value, rates and linear products · Applied
• You are long a forward struck at $95 with six months left.Time value, rates and linear products · Applied
• What is the present value of $1,000 a year for ten years, first payment in one year, at 5%?Time value, rates and linear products · Applied
• A project costs $100 today and returns $60 at the end of each of the next two years.Time value, rates and linear products · Applied
• A project’s cash flows go negative, positive, then negative again (for example…Time value, rates and linear products · Applied
• A three-year bond pays a 5% annual coupon on $100 face.Time value, rates and linear products · Applied
• A two-year bond pays a 10% annual coupon and yields 10%.Time value, rates and linear products · Applied
• The one-year zero rate is 4% and the two-year zero rate is 5%, both annually compounded.Time value, rates and linear products · Applied
• A plain fixed-coupon bond has positive convexity.Time value, rates and linear products · Applied
• Annual discount factors for years one, two and three are 0.97, 0.94 and 0.91.Time value, rates and linear products · Applied
• You bought a three-month FRA on $10 million at 4%.Time value, rates and linear products · Applied
• A ten-year swap on $100 million notional has an annuity factor – the sum of its…Time value, rates and linear products · Applied
• Under what condition are a futures price and a forward price on the same asset identical?Time value, rates and linear products · Advanced
• A bond has modified duration 7 and convexity 60.Time value, rates and linear products · Advanced
• You receive fixed at 4% on a five-year $100 million swap, struck at market.Time value, rates and linear products · Advanced
• Why does a mortgage-backed security exhibit negative convexity as yields fall?Time value, rates and linear products · Advanced
• You hedge a $10 million equity portfolio with index futures of notional $250,000.Time value, rates and linear products · Advanced
• The one-year zero rate is 4%.Time value, rates and linear products · Advanced
• A one-year European box spread with strikes $100 and $120 trades at $19.20.Options: fundamentals and arbitrage · Applied
• Why is the risk-neutral probability used in option pricing generally different…Option pricing models · Applied
• A Monte Carlo pricer uses 10,000 paths, and the discounted payoffs have a…Option pricing models · Applied
• Equity index options show higher implied volatility for low strikes than for high strikes.Option pricing models · Applied
• You price an arithmetic Asian option by Monte Carlo. What is the natural control variate?Option pricing models · Advanced
• When is the Bachelier, or normal, model preferred to Black and Scholes?Option pricing models · Advanced
• A one-year at-the-money payer swaption has an annuity of 1 and a normal…Option pricing models · Advanced
• The Black–Scholes PDE is Θ+1/2σ²S²Γ+rSΔ−rV = 0.Option pricing models · Advanced
• You use antithetic variates: each path is paired with its mirror image, and the…Option pricing models · Advanced
• Why is the Crank–Nicolson scheme popular for pricing with the Black–Scholes…Option pricing models · Advanced
• In the Heston stochastic-volatility model, which parameter chiefly controls the…Option pricing models · Advanced
• You hold 5,000 shares of an $80 stock with a beta of 1.5 to the index.The Greeks and hedging · Applied
• You must hedge a delta of 10,000 shares using a one-year futures contract on…The Greeks and hedging · Advanced
• On equity indices implied volatility has, on average, exceeded subsequently…Volatility · Applied
• A variance swap has vega notional $50,000 and a strike of 25 volatility points.Volatility · Applied
• Four daily returns are +1%, −2%, +1.5% and −0.5%.Volatility · Applied
• The VIX is at 20. Roughly what one-standard-deviation move in the S&P 500 over…Volatility · Applied
• An EWMA volatility model with λ = 0.94 has yesterday’s daily volatility estimate at 1%.Volatility · Applied