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.
1,322 questions · page 23 of 34
- A matrix has singular values 5, 4, 2 and 1.Linear algebra · Advanced
- Two uncorrelated assets have variances 0.04 and 0.01 and expected excess returns 8% and 3%.Linear algebra · Advanced
- A correlation matrix estimated from patchy data has a small negative eigenvalue.Linear algebra · Advanced
- Assets A and B correlate at 0.9, and B and C at 0.9.Linear algebra · Advanced
- You estimate a correlation matrix for 100 assets from 400 days of independent…Linear algebra · Advanced
- Two assets have volatilities 20% and 10% and correlation 0.5.Linear algebra · Advanced
- In maximising a Gaussian likelihood over a symmetric covariance matrix Σ, what…Linear algebra · Advanced
- An equicorrelated matrix, part 3 of 4Linear algebra · Advanced
- Projecting onto a factor, part 3 of 3Linear algebra · Advanced
- Minimising a quadratic, part 3 of 4Linear algebra · Advanced
- Keeping the big singular values, part 3 of 3Linear algebra · Advanced
- Two correlated assets, part 3 of 3Linear algebra · Advanced
- An equicorrelated matrix, part 4 of 4Linear algebra · Expert
- Minimising a quadratic, part 4 of 4Linear algebra · Expert
- For standard Brownian motion, what is 𝔼[W₃W₇]?Stochastic calculus · Foundation
- For standard Brownian motion, what is Var(W₁+W₂)?Stochastic calculus · Foundation
- What is the correlation between W₁ and W₄ for standard Brownian motion?Stochastic calculus · Foundation
- What is the quadratic variation of Xₜ = 0.3 Wₜ over [0,2]?Stochastic calculus · Foundation
- A stock follows geometric Brownian motion with drift 8% and volatility 20%.Stochastic calculus · Foundation
- A stock at $100 follows GBM with drift 10% and volatility 20%.Stochastic calculus · Foundation
- Hitting a barrier, part 1 of 4Stochastic calculus · Foundation
- A stock following geometric Brownian motion, part 1 of 3Stochastic calculus · Foundation
- Changing the measure, part 1 of 4Stochastic calculus · Foundation
- Powers of Brownian motion, part 1 of 4Stochastic calculus · Foundation
- What is d(Wₜ²)?Stochastic calculus · Applied · Free solution
- For standard Brownian motion, what is 𝔼[W₄⁴] – the fourth moment at time 4?Stochastic calculus · Applied
- An Ornstein–Uhlenbeck process has θ = 2 per year and σ = 0.4.Stochastic calculus · Applied
- A Brownian motion with drift 0.5 per unit time starts at zero.Stochastic calculus · Applied
- What is 𝔼[e^(0.4W₂)], to four decimal places?Stochastic calculus · Applied
- A spread follows an Ornstein and Uhlenbeck process with reversion speed θ = 0.5 per year.Stochastic calculus · Applied
- A stock has expected return 10%, the risk-free rate is 3% and volatility is 25%.Stochastic calculus · Applied
- For standard Brownian motion, what is Pr(W₂ > W₁ > 0)?Stochastic calculus · Applied
- Standard Brownian motion is observed at W₄ = 2. What is 𝔼[W₁|W₄ = 2]?Stochastic calculus · Applied
- What is 𝔼|Wₜ| at time t = π/2?Stochastic calculus · Applied
- Standard Brownian motion starts at 0. What is the probability it hits +1 before −2?Stochastic calculus · Applied
- Standard Brownian motion starts at 0 and stops on hitting +1 or −2.Stochastic calculus · Applied
- What is 𝔼[∫₀²Wₛ² ds]?Stochastic calculus · Applied
- What is Var(∫₀¹Wₛ dWₛ)?Stochastic calculus · Applied
- Using the Itô product rule on tWₜ, which identity holds?Stochastic calculus · Applied
- A stock follows GBM with drift 10% and volatility 20%.Stochastic calculus · Applied