Round 1: Investment Bank Quantitative Research
Question 1: Name the three (3) properties of a standard Brownian Motion.
Question 2: Let be a Brownian Motion. Is a martingale? What about ?
Round 1: Investment Bank Quantitative Research
Question 1: Name the three (3) properties of a standard Brownian Motion.
Question 2: Let be a Brownian Motion. Is a martingale? What about ?
Round 2: Investment Bank Quantitative Research
Question 1: What is the variance of a Brownian Motion at time ?
Question 2: What is , where is a Brownian Motion at time ?
Question 3: Given that , what is the probability that for ? That is, find
Round 1: Investment Bank Quantitative Research
Question 1: Give an example of a Ito Diffusion Equation (Stochastic Differential Equation).
Question 2: Apply Ito’s Lemma to Geometric Brownian Motion in the general case. That is, for , given , what is ?
Round 1: Investment Bank Quantitative Research
Question: Evaluate