normal distribution, log-normal distribution, how do you compute mean of log-normal distribution in terms of the mean and variance of the underlying normal distribution, Brownian motion, Ito's Lemma, Black-Scholes formula, what are the differences between forwards and futures, what is the swap, how do you price the swap, how do you output correlated random variables with a prescribed coefficient of correlation
Describe CMS interest rate option? Explain convexity adjustment? Knuth shuffle?
yield curve building, interest rate derivatives modelling
En fonction du cv. Décrivez votre parcours
Typical quantitative questions (see Heard on the Street): decompose exotic payoffs in vanilla payoffs; solve ode's, etc
Explain different options greeks and distributions
Tell me about a project you did.
Every time a farmer dips a bucket into the well, it comes back with a random amount of water uniformly distributed between 0 and 1 liter, which his cow then drinks. The farmer stops once the cow has consumed more than 1 liter. On average, how many times will the farmer need to dip his bucket into the well before stopping?
The dataset was complex.
calculate VWAP form a pandas data frame
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