150 Most Frequently Asked Questions On Quant Interviews |work| < 2024 >

How do you find the expected time to absorption in a chain with two absorbing states?

: An urn starts with 1 red and 1 blue ball. At each step, a ball is drawn at random, and it is returned to the urn along with an additional ball of the same color. What does the distribution of the fraction of red balls look like after many steps? Order Statistics : If

: How is it used to change the measure in a stochastic setting? 150 Most Frequently Asked Questions On Quant Interviews

A line of 100 people are waiting to board a plane with 100 assigned seats. The first person lost their ticket and takes a random seat. Everyone else takes their assigned seat if available, or a random one if occupied. What is the probability the last person gets their own seat? 2. Linear Algebra and Calculus

: If you delta hedge an option using an estimated volatility σesigma sub e , but the true realized volatility turns out to be σrsigma sub r , what is your tracking error/PnL distribution? How do you find the expected time to

Why is it dangerous to use standard float or double variables to represent absolute fiat currency amounts? How do you prevent rounding errors?

: Explain the four pillars of object-oriented programming: Encapsulation, Abstraction, Inheritance, and Polymorphism. What does the distribution of the fraction of

to three decimal places using series expansions or fractional patterns.

are independent and identically distributed (i.i.d.) uniform random variables on , what is the probability density function of the -th smallest value? : Let be i.i.d. standard normal variables. What is Joint Distributions : If are independent uniform random variables on , what is the distribution of the product

-forward measure, and why is it specifically useful when valuing interest rate derivatives like caps, floors, and swaptions?

: What are the precise conditions (e.g., Lindeberg-Lévy) required for the Central Limit Theorem to hold? When does it fail?