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.
56 questions · page 2 of 2 · Clear filters
- 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
- With zero rates, Black–Scholes theta is Θ = −1/2σ²S²Γ.The Greeks and hedging · Advanced
- You hold a deep in-the-money call, with delta near 1.The Greeks and hedging · Advanced
- Volga (vomma) is the sensitivity of vega to volatility.The Greeks and hedging · Advanced
- For a one-year at-the-money call on a $100 stock with zero rates, how much does…The Greeks and hedging · Advanced
- Your book is delta neutral with gamma of −600 shares per dollar.The Greeks and hedging · Advanced
- You must hedge a delta of 10,000 shares using a one-year futures contract on…The Greeks and hedging · Advanced
- Your book shows total vega of zero: long one-month vega and short one-year vega…The Greeks and hedging · Advanced
- Reading a book’s risk report, part 3 of 3The Greeks and hedging · Advanced
- Neutralising delta and gamma, part 3 of 3The Greeks and hedging · Advanced
- Living with a long straddle, part 3 of 4The Greeks and hedging · Advanced
- Theta pays for gamma, part 3 of 3The Greeks and hedging · Advanced
- You delta-hedge a long option n times over its life instead of continuously.The Greeks and hedging · Expert
- Living with a long straddle, part 4 of 4The Greeks and hedging · Expert