Citi

  www.citigroup.com
  www.citigroup.com

Interview Question

Research Analyst Interview London, England (UK)

A mathematical question on how to compute the convexity

  adjustment for an instrument whose payoff was given by a mathematical function.
Tags:
Answer

Interview Answer

1 Answer

0

The answer involved knowing about change of measures in stochastic processes.

Interview Candidate on Jan 4, 2010

Add Answers or Comments

To comment on this, Sign In or Sign Up.