Phone interview with the Equities quants. Classical math questions and some equity derivatives questions (dividends in Black scholes: continuous, proportional and cash). How to calibrate the volatility term structure? What is the skew? What causes the skew? How do you extend Black Scholes to accomodate the skew
Preguntas de entrevista [1]
Pregunta 1
Describe Black Scholes derivation, define the Brownian motion, fourier transform.
Acudí a una entrevista en Citi (Londres, Inglaterra)
Entrevista
medium difficulty, asked regular quant questions, math, computer science and all that, regular quant questions, math, computer science and all that, not that difficult, rejected by them in the end
Preguntas de entrevista [1]
Pregunta 1
regular quant questions, math, computer science and all that
Medium. Memorize the green book and be fast at mental math and be articulate. Be able to answer simple probability questions and stats stuff. they like people who can speak English and are coherent when talking through ideas
Me postulé en línea. Acudí a una entrevista en Citi (New York, NY)
Entrevista
It was a first round with the hiring manager who mostly asked behavioral questions. He described the role and what they do. Overall the questions he asked were trivial like bond market trading hours. I didn’t know about the sessions after the regular trading session.
Preguntas de entrevista [1]
Pregunta 1
General questions about trace data and bond markets