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.
389 questions · page 9 of 10 · Clear filters
- A client buys a call on the worst performer of three stocks.Exotics and structured products · Applied
- A desk sells a digital call struck at K and hedges it with a call spread.Exotics and structured products · Applied
- Why will no desk hold a naked short digital into expiry with the spot sitting…Exotics and structured products · Advanced · Free solution
- A knock-out is monitored on daily closes rather than continuously.Exotics and structured products · Advanced
- You are long a call on a basket of two stocks. What is your correlation exposure?Exotics and structured products · Advanced
- A desk sells autocallable notes to retail investors. What risk does it end up carrying?Exotics and structured products · Advanced
- A power contract pays S_T² at maturity.Exotics and structured products · Advanced
- Two assets each have 30% volatility and correlate at 0.5.Exotics and structured products · Advanced
- Why is the volatility of a geometric average of a lognormal path lower than…Exotics and structured products · Advanced
- A chooser lets you decide at time t whether you hold a call or a put, both…Exotics and structured products · Advanced
- A desk has sold many autocallables with barriers clustered at the same index level.Exotics and structured products · Advanced
- A gap call pays S_T−90 whenever S_T > 100, and nothing otherwise.Exotics and structured products · Advanced
- A one-year one-touch pays $1 at expiry if the stock ever trades at $120…Exotics and structured products · Advanced
- An up-and-out barrier at $120 is monitored only on daily closes.Exotics and structured products · Advanced
- Model a price as an arithmetic Brownian motion with no drift and a normal…Exotics and structured products · Advanced
- What is the vega of an up-and-out call with the stock well above the strike and…Exotics and structured products · Advanced
- An option to exchange asset 2 for asset 1 pays max(S₁−S₂,0) in one year.Exotics and structured products · Advanced
- EUR/USD has 8% volatility and USD/JPY 10%, and the log returns of the two rates…Exotics and structured products · Advanced
- You are short a digital paying $1,000,000 if a $100 stock finishes above $100 in one week.Exotics and structured products · Advanced
- A desk is short a knock-out option to a client.Exotics and structured products · Advanced
- A quanto pays a foreign index in domestic currency at a fixed rate.Exotics and structured products · Expert
- Why can some barrier options be hedged with a static portfolio of vanillas…Exotics and structured products · Expert
- Rates and dividends are zero.Exotics and structured products · Expert
- A sample of 36 observations has mean 0.8 and standard deviation 3.Statistics and inference · Foundation
- A fair die is rolled 100 times.Statistics and inference · Applied
- A strategy won 220 of 400 trades.Statistics and inference · Applied
- Daily equity returns show almost no autocorrelation, but their squares show a lot.Time series · Applied
- A daily GARCH(1,1) has ω = 0.000002, α = 0.08 and β = 0.90.Time series · Applied
- With the GARCH(1,1) above (ω = 0.000002, α = 0.08, β = 0.90), yesterday’s…Time series · Applied
- How do you simulate a vector of correlated normal variables with covariance Σ?Linear algebra · Applied
- A stock follows geometric Brownian motion with drift 8% and volatility 20%.Stochastic calculus · Foundation
- A Brownian motion with drift 0.5 per unit time starts at zero.Stochastic calculus · Applied
- A stock follows GBM with drift 10% and volatility 20%.Stochastic calculus · Applied
- A stock with 20% volatility has real-world drift 10%; the risk-free rate is 2%.Stochastic calculus · Applied
- In Sₜ = S₀e^((μ−σ²/2)t+σWₜ), what is the −σ²/2 doing?Stochastic calculus · Advanced
- Moving from the real-world measure to the risk-neutral one, what changes about…Stochastic calculus · Advanced
- A stock at $100 follows a driftless geometric Brownian motion with 30% volatility.Stochastic calculus · Advanced
- You are asked to build a five-minute return predictor from order book data.Research case studies · Applied
- A Fermi estimate multiplies four independent factors, each uncertain to within…Research case studies · Advanced
- How many comparisons does a binary search need, in the worst case, over a…Data structures and algorithms · Foundation