State Itô’s Lemma for a function Xtcap X sub t is a stochastic differential equation (SDE).
Quant interviews are oral exams. Explaining your logic as you write on a whiteboard is a skill in itself.
Write down the iterative update formula for the Newton-Raphson method. When does this method fail to converge?
Quant roles are built on a bedrock of mathematics. You aren't just expected to know the formulas; you must understand the underlying intuition. 150 Most Frequently Asked Questions On Quant Interviews
A fox is chasing a duck in a circular pond. The fox cannot swim but runs 4 times faster than the duck can swim. Can the duck escape to the edge of the pond without being caught? 4. Statistics, Econometrics, and Machine Learning
Explain SVD. How does it differ from Eigendecomposition when applied to non-square matrices?
: You have 1,000 bottles of wine, and exactly one is poisoned. You have 10 rats to test the wine. If a rat drinks poison, it dies in 24 hours. How do you find the poisoned bottle in 24 hours? State Itô’s Lemma for a function Xtcap X
Why is Gamma highest when an option is exactly at-the-money (ATM) and close to expiration?
You have 3 coins: one two-headed, one fair, and one unfair (biased 75% heads). You pick one at random and flip it. It shows heads. What is the probability it is the two-headed coin?
Prove that the exponential distribution is memoryless. How does this apply to asset default modeling? Write down the iterative update formula for the
Common questions involve calculating Value at Risk (VaR) or explaining the Capital Asset Pricing Model (CAPM).
For front-office quant roles, you must know the "Greeks" and the Black-Scholes model. This is where the heavy mathematics comes into play.