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Monthly Archives: October 2007
Interview Question: Assessing Your Own Odds
Sample Question #225 (strange question) So, about 35 people have applied to this position [for which you are interviewing]. What’s the probability that you will get the offer? (Comment: is this a quantitative question? Does it matter?)
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Which Is More Important: Math or Stats?
A lot of folks aspiring to be quants have the incorrect impression that real quants work with mathematical models all the time. They probably got this impression from reading some books purporting to tell them what quants do, and they … Continue reading
Posted in Advice and Tips
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Interview Question: My Name Is Bond
Sample Question #224 (finance – bond pricing) Explain the difference between a bond’s yield and its rate of return. How do you calculate them? (Comment: the funny thing about bond pricing is that, as long as you understand the concept … Continue reading
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Reality Check: Are You Sure You Want to Be a Quant?
The last two days I took a sick leave. While resting at home, I watched a 3-disc DVD program called Navy Seals: BUDS Class 234, a six-part mini-series about young men training to become members of the elite U.S. Navy … Continue reading
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Interview Question: From Prior to Posterior
Sample Question #223 (statistics – Bayesian inference) Suppose that x is normally distributed with mean μ and variance 4. Assume that the prior distribution of μ is also normal with mean 0 and variance 25. What is the posterior distribution … Continue reading
Common Mistake: Chatterbox
Common Mistake #8: talk too much at an interview While most quant candidates tend to be the quiet type, it’s not uncommon at all to find some who, for one reason or another, tend to talk a lot during an … Continue reading
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Interview Question: Random Certainty
Sample Question #222 (mathematics – stochastics) How would you prove that the probability of a random walk hitting any arbitrary number is 1? (Hint: when you’re asked "how would you prove…", you’re expected to give a sketch of a proof, … Continue reading
Interview Question: Say No to Overloading
Sample Question #221 (programming – C++) Which operators in C++ cannot be overloaded?
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Interview Question: Overloaded Operators
Sample Question #220 (programming – C++) Can you overload the =, (), [], and -> operators in C++?
Interview Question: Call Option in Bonds
Sample Question #219 (finance – bond pricing) What is a callable bond? Discuss the embedded option in such a bond. Also, explain special pricing considerations related to such a bond. (Comment: this real-world interview question proves that you must know … Continue reading
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Interview Question: We Would Have Gotten Very Rich If Only…
Sample Question #218 (finance – ROI) I’ll give you the following facts: since February this year, the crude oil futures price (on NYMEX) has gone from $50 to $86 per barrel. Each crude oil futures contract covers 1,000 barrels, which … Continue reading
The “Market Wizards” Book Series
While my book and this blog has focused exclusively on careers in quantitative finance, I’m not oblivious to the fact that many of my readers and visitors have an intrinsic interest in securities trading, either for their own personal accounts … Continue reading
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Interview Question: Extreme Questioning
Sample Question #217 (statistics) Tell me everything you know about extreme value theory. (Comment: this is a cross between a technical question and a case question. It’s technical because it covers a specific quantitative topic, that of extreme tail risks. … Continue reading
Interview Question: Testing Your SAT Power
Sample Question #216 (brainteaser) [This is a good one…] Which of the following is correct? Seven and nine IS fifteen, or seven and nine ARE fifteen?
Interview Question: Weak Condition
Sample Question #215 (econometrics – time series) Define weak stationarity, first in words and then in formal expression. What does it imply for mean and covariances? Comment on strict (or strong) stationarity.
Interview Question: Functional Fun
Sample Question #214 (mathematics) What’s the name of the following functional form? For any κ > 1, what is Γ(κ)? What’s the value of Γ(1/2)? (Hint: do you recognize the Greek letter Γ?)
Interview Question: Boring Old Clock
Sample Question #213 (brainteaser) What’s the first time after 3 o’clock that the hour and minute hands on a clock face overlap each other?
Interview Question: AIC
Sample Question #212 (statistics) What’s the Akaike Information Criterion (AIC)? Why is it a useful concept?
Interview Question: Hedging Your Option
Sample Question #211 (finance – option pricing) For an at-the-money stock option, how many shares of the underlying stock should you long or short in order to hedge the option? Does your answer depend on whether the option is American or … Continue reading
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Interview Question: Fitness Test
Sample Question #210 (statistics – regressions) What does R2 from a regression measure? Can it ever be negative? How is R2 calculated?
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