From The Thalesians

I have started collecting interview questions in quantitative finance. Your contributions are most welcome.

Contents 1 Finance 1.1 Foreign Exchange 2 Mathematics 2.1 Pure 2.2 Statistics 3 Programming 3.1 Algorithms 3.2 C++ 3.3 Java

Finance

Foreign Exchange

1. What exactly is understood by "sticky strike", "sticky delta" and "sticky moneyness"?
2. There are two different conventions for quoting deltas: "spot delta" and "forward delta". Explain the difference between them. Why do we need two different conventions?
3. In relation to the volatility smile, what exactly is represented by (a) the risk reversals, (b) the strangles? What happens to the smile as (a) the risk reversals, (b) the strangles are increased? (Sketch the graphs.)
4. In relation to implief volatility quotes, what is meant by the "weekend effect"?
5. You have a sequence of volatility smiles for different tenors (for example, ON, 1W, 2W, 1M, 3M, 6M, 1Y, 2Y) each specified as five points (ATM, RR10, RR25, STR10, STR25). What methods could you use to interpolate the volatility surface? How would you take care of the weekend and holiday effects?
6. How would you price a correlation swap?

Mathematics

Pure

1. Show that for any positive integer there is a sequence of consecutive positive integers none of which is prime.
   • Hint 1

   Think of Euclid's famous proof that there are infinitely many primes.

   • Hint 2

   Use factorials.

   • Solution

   Consider the sequence

   

   2 divides the first term, 3 divides the second term, ..., divides the th term. Thus none of these positive integers is prime.

Statistics

1. You have a bowl of spaghetti. You pick up a random end of a spaghetto (I believe that's singular for spaghetti) with your left hand and another random end with another and tie them together, then repeat this procedure while there are still free ends. What is the expected number of spaghetti cycles that you get as a result?

Programming

Algorithms

1. Write a function that will randomly shuffle an array of integers.
2. How would you generate a list of all 10 by 10 matrices whose entries are integers from 0 to 9?

C++

1. Explain the differences between std::vector and std::list. Under what circumstances is the former (latter) preferable?
2. What is the "dreaded diamond"?

Java

1. Given a linked list, what methods can you use to determine whether it is circular? What are the trade-offs?

 
 

	Enter your search terms Submit search form
	Web www.bilokon.co.uk