Round 1: Investment Bank Quantitative Research
Question: An ant is placed on one vertex of a unit cube. What is the shortest path the ant can take to get to the opposite vertex (walking on the surface of the cube, it cannot fly)?
Round 1: Investment Bank Quantitative Research
Question: An ant is placed on one vertex of a unit cube. What is the shortest path the ant can take to get to the opposite vertex (walking on the surface of the cube, it cannot fly)?
Round 2: Investment Bank Quantitative Research
Question 1: What are the assumptions of Black-Scholes model?
Question 2: What is Implied Volatility?
Question 3: If you want to replicate (approximately) a digital call option using vanilla calls and puts, how do you do it?
Round 1: Investment Bank Quantitative Research
Question 1: What is duration (of a bond)?
Question 2: Rank the following four (4) bonds in order of their duration (or state what’s ambiguous otherwise):
Round 2: Investment Bank Quantitative Research
Question 1: In Monte Carlo simulation, name a few ways to reduce variance.
Question 2: Give an example (in finance) where you would use control variates?
Round 1: Investment Bank Quantitative Research
Question 1: In the following function header: const int foo(const Bar & b) const; , what is each const for?
Question 2: Is there a way to avoid or circumvent the behaviour of the last const above?
Question 3: In the following statement: const char * const p = q;, what is each const for?
Round 1: Investment Bank Quantitative Research
Question 1: What is dynamic cast and static cast?
Question 2: What is dynamic binding?
Question 3: What is an abstract class in C++? How do you know it’s abstract?
Question 4: What is polymorphism?
Round 1: Investment Bank Quantitative Research
Question: Calculate the first derivative of evaluated at using points to accuracy
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: How do you calculate the price (PV) of a vanilla Interest Rate Swap?
Question 2: Can you express the PV of the vanilla IRS mathematically?
Round 1: Investment Bank Quantitative Research
Question 1: What is the keyword virtual for? What about virtual … = 0?
Question 2: How does the compiler handle and implement virtual functions?