Quant interview questions

378 questions · page 1 of 10 · Clear filters

• Ten people are available.Counting and combinatorics · Applied
• Five distinct orders are routed to three venues, and every venue must receive…Counting and combinatorics · Applied
• Five distinct analysts are split into two teams.Counting and combinatorics · Applied
• A disease affects 1 person in 1000.Probability · Applied
• You have a uniform random number generator and need draws from a distribution…Probability · Applied
• What upper bound does Chebyshev’s inequality place on Pr(|X−μ|≥ 3σ)?Probability · Applied
• X is uniform on [−1,1] and Y = X². Which statement is true?Probability · Applied
• Four independent uniforms are drawn on [0,1].Probability · Applied
• You price by Monte Carlo using antithetic pairs whose payoffs correlate at −0.5.Probability · Advanced
• Three points are chosen independently and uniformly on a circle.Probability · Advanced
• X and Y are independent standard normals.Probability · Advanced
• Roll a die to get N, then roll N further dice and add them up.Probability · Advanced
• Assets A and B correlate at 0.8, and B and C also at 0.8.Probability · Expert
• You estimate π by drawing points uniformly in the unit square and counting the…Probability · Expert
• A fair coin is flipped until the first tail.Games, decision theory and puzzles · Applied
• One hundred prisoners stand in a line, each wearing a black or white hat.Games, decision theory and puzzles · Advanced
• A hundred ants are placed at random on a stick one metre long, each facing a…Games, decision theory and puzzles · Advanced
• A strategy’s daily Sharpe ratio is 0.1.Market making · Foundation
• Two strategies each have a Sharpe ratio of 1 and the same volatility, and their…Market making · Applied
• A strategy has an expected excess return of 8% a year and a volatility of 20%…Market making · Advanced
• Growth rate as a function of the bet fraction is quadratic near the Kelly optimum.Market making · Advanced
• A company has a constant default intensity of 2% a year and bondholders expect…Markets and products · Applied
• Using the original Taylor rule, i = r*+π+0.5(π−π*)+0.5 y, with a neutral real…Markets and products · Applied
• What is the main channel through which quantitative easing lowers long-term…Markets and products · Applied
• In late September 2022 long-dated UK gilt yields rose so fast that the Bank of…Markets and products · Advanced
• You hedge a $10 million equity portfolio with index futures of notional $250,000.Time value, rates and linear products · Advanced
• In the Black–Scholes formula, what does Φ(d₂) represent?Option pricing models · Applied
• A Monte Carlo pricer uses 10,000 paths, and the discounted payoffs have a…Option pricing models · Applied
• Which answer to "what is wrong with Black–Scholes?" is strongest in an interview?Option pricing models · Advanced
• You price an arithmetic Asian option by Monte Carlo. What is the natural control variate?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
• An EWMA volatility model with λ = 0.94 has yesterday’s daily volatility estimate at 1%.Volatility · Applied
• A stock’s daily high is consistently 2% above its low.Volatility · Advanced
• You have 100 observations and a standard error of 0.4.Statistics and inference · Foundation · Free solution
• A sample of 36 observations has mean 0.8 and standard deviation 3.Statistics and inference · Foundation
• You observe 8 successes in 20 trials.Statistics and inference · Foundation
• A quantity has standard deviation 15.Statistics and inference · Foundation
• A strategy averaged 0.05% a day with a daily standard deviation of 1% over 252 days.Statistics and inference · Foundation