Quant interview questions
1,322 questions in the style trading and research firms ask, from probability and brainteasers to options, statistics and coding. Every question is open to read; the 50 in the free sample show their worked solutions here.
207 questions · page 4 of 6 · Clear filters
- A one-period tree has u = 1.2, d = 0.85 and a growth factor R = 1.03.Option pricing models · Foundation
- What does the Black–Scholes formula give for a one-year at-the-money call on a…Option pricing models · Foundation
- A stock is at $100 and in one year moves to either $120 or $80.Option pricing models · Applied · Free solution
- Why are binomial trees still used when a closed form exists for European options?Option pricing models · Applied
- A stock at $50 moves to $60 or $40 over one period. What is the delta of a $50 call?Option pricing models · Applied
- A stock at $100 moves by a factor of 1.2 or 0.8 each period for two periods…Option pricing models · Applied
- A one-year at-the-money call on a $100 stock has 20% volatility and zero rates.Option pricing models · Applied
- Price the one-year at-the-money call on a $100 stock at 20% volatility with…Option pricing models · Applied
- You solve for implied volatility by bisection on the bracket [0.01,2.00] to a…Option pricing models · Applied
- A stock at $100 moves to $110 or $90 in one period, and $1 invested risk-free…Option pricing models · Applied
- Price a one-year at-the-money European put on a $100 stock with 20% volatility…Option pricing models · Applied
- A futures price is 200 and rates are zero.Option pricing models · Applied
- An at-the-money one-year call on a $100 stock, with rates near zero, trades at $8.Option pricing models · Applied
- Same two-period tree: $100 stock, factors 1.2 and 0.8, zero rates.Option pricing models · Advanced
- What is the essential difference between a local volatility model and a…Option pricing models · Advanced
- A binomial tree with 50 steps prices an option $0.04 above the Black and Scholes value.Option pricing models · Advanced
- Using Black’s model, price a six-month at-the-money call on a futures contract…Option pricing models · Advanced
- What is the sign of gamma on a long put?The Greeks and hedging · Foundation · Free solution
- Where is the time decay of a long option largest?The Greeks and hedging · Foundation
- You are long 10 call contracts with delta 0.55, each on 100 shares.The Greeks and hedging · Foundation
- An option has delta 0.5 and gamma 0.04 per share.The Greeks and hedging · Foundation
- Why can’t you hedge an option book’s gamma by trading the underlying stock?The Greeks and hedging · Foundation
- You are long a straddle and have hedged the delta.The Greeks and hedging · Applied
- A one-year at-the-money call on a non-dividend-paying stock, with positive rates.The Greeks and hedging · Applied
- Where is the gamma of a call option largest?The Greeks and hedging · Applied
- You are long 20 call contracts, each on 100 shares, with delta 0.4.The Greeks and hedging · Applied
- You are long 50 calls with delta 0.6, short 30 puts with delta −0.4, and short…The Greeks and hedging · Applied
- You are long 70 one-month contracts with $4 of vega each.The Greeks and hedging · Applied
- Hedging error falls as one over the square root of the number of hedges.The Greeks and hedging · Applied
- What is the Black–Scholes delta of a one-year at-the-money European put on a…The Greeks and hedging · Applied
- An option has delta 0.5 and gamma 0.04 per share.The Greeks and hedging · Applied
- Nothing moves overnight except the calendar.The Greeks and hedging · Applied
- You are long 10 delta-hedged contracts, each on 100 shares, with gamma 0.05 per share.The Greeks and hedging · Applied
- You are short options and delta hedging.The Greeks and hedging · Applied
- A book has delta +2,000 shares, gamma −300 shares per dollar and vega +$5,000…The Greeks and hedging · Applied
- A one-year at-the-money call on a $100 stock has 20% volatility and rates are zero.The Greeks and hedging · Advanced
- What does vanna measure, and when does it matter most?The Greeks and hedging · Advanced
- A contract covers 100 shares, gamma is 0.05 per share and theta is −$6 per…The Greeks and hedging · Advanced
- A one-year at-the-money call on a $100 stock has 20% volatility and rates of 5%.The Greeks and hedging · Advanced
- Your book is delta, gamma and vega neutral. Why does the desk still run a scenario grid?The Greeks and hedging · Advanced