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Quantitative Researcher Interview Questions
2,686 quantitative researcher interview questions shared by candidates
Very standard interview questions in the non-technical interviews. The data analysis exercise required data preprocessing, modeling, and interpretation.
15 statistics questions of varying difficulty, e.g., on the variance of complex random variables on the unit circle or sphere, etc.
Time series analysis of data
Difference between Libor Market Model and Black's formula for swaption valuation.
a lot of questions, no time to calculate or think
Analyze some input data in C++
- Do you know VBA ? (Yes or no and that's it, no coding interview even some computer science questions to assess your knowledge) - Do you know stochastic calculus? (Yes or no, same thing) - What do you know about Fixed Income? What is a coupon? - Can you hedge a bond portfolio against the inflation risk? How would you do it?
Consider a geometric Brownian motion martingale with stochastic volatility. The logarithm of the latent volatility follows a fractional Brownian motion, with an unknown “volatility of volatility” and Hurst exponent H. (a) Write the stochastic differential equations for the system as described. (b) Assuming the model represents a stock price and given a historical price sampled every second, describe your approach for fitting the model. How would you estimate the latent volatility? Be specific. (c) The current volatility model is non-stationary. Suggest and justify an adjustment to make it stationary. What are the revised equations?
Consider the following code: 1 double f ( double x ) { 2 if ( x == 0) 3 return 1.0; 4 return f (0.5 * x ) + f (0.3 * x ) ; 5 } Analyze the time and memory complexities of this function. Provide asymptotically tight bounds.
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