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.
55 questions · page 2 of 2 · Clear filters
- What can you say about ∫₀ᵗf(s) dWₛ for a deterministic, square-integrable f?Stochastic calculus · Advanced
- A stock at $100 follows a driftless geometric Brownian motion with 30% volatility.Stochastic calculus · Advanced
- Xₜ = 0.5t+Wₜ starts at 0. What is the probability it hits +1 before −1, to three decimals?Stochastic calculus · Advanced
- A driftless Brownian motion starts at 0.Stochastic calculus · Advanced
- The area under a Brownian path, I = ∫₀³Wₛ ds, has mean zero. What is its variance?Stochastic calculus · Advanced
- In the CIR model dr = κ(θ−r) dt+σ√r dW with θ = 0.04 and σ = 0.3, what is the…Stochastic calculus · Advanced
- Under ℙ, W is standard Brownian motion.Stochastic calculus · Advanced
- What does the Feynman–Kac theorem connect?Stochastic calculus · Advanced
- Hitting a barrier, part 4 of 4Stochastic calculus · Advanced
- A stock following geometric Brownian motion, part 3 of 3Stochastic calculus · Advanced
- Changing the measure, part 3 of 4Stochastic calculus · Advanced
- Powers of Brownian motion, part 3 of 4Stochastic calculus · Advanced
- Why price a bond option under the forward measure rather than the risk-neutral one?Stochastic calculus · Expert
- Changing the measure, part 4 of 4Stochastic calculus · Expert
- Powers of Brownian motion, part 4 of 4Stochastic calculus · Expert