Quant Interview Questions
- Can you derive Black Scholes? There is different starting points for this. You can start from taking a risk neutral expectation of the pay of condition off, or start from a risk neutral portfolio or start with the geometric brownian motion. Either way its important to not just know the mathematics but the principles that relate to the mathematics.
- Can you integrate and differentiate on demand? It's not as easy as it sounds, I have been reduced to a wreck several times in an interview when I was terrorised with various questions involving cube roots of numbers whilst trying to remember how to perform a integration operation.