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 1 of 2 · Clear filters
- 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
- An Ornstein–Uhlenbeck process dX = 2(1−X) dt+σ dW starts at X₀ = 5.Stochastic calculus · Applied
- A stock with 20% volatility has real-world drift 10%; the risk-free rate is 2%.Stochastic calculus · Applied
- Hitting a barrier, part 2 of 4Stochastic calculus · Applied
- Hitting a barrier, part 3 of 4Stochastic calculus · Applied
- A stock following geometric Brownian motion, part 2 of 3Stochastic calculus · Applied
- Changing the measure, part 2 of 4Stochastic calculus · Applied
- Powers of Brownian motion, part 2 of 4Stochastic calculus · Applied
- What is ∫₀ᵗWₛ dWₛ?Stochastic calculus · Advanced · Free solution
- In Sₜ = S₀e^((μ−σ²/2)t+σWₜ), what is the −σ²/2 doing?Stochastic calculus · Advanced
- Which of these is a martingale?Stochastic calculus · Advanced
- Moving from the real-world measure to the risk-neutral one, what changes about…Stochastic calculus · Advanced
- What is Var(∫₀²s dWₛ), to three decimal places?Stochastic calculus · Advanced
- A Brownian motion is conditioned to return to zero at time 4.Stochastic calculus · Advanced
- For a standard Brownian motion, what is Pr(max _(t ≤ 4)Wₜ ≥ 2), to four decimal places?Stochastic calculus · Advanced