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Citi Research Analyst Interview Question

I interviewed in London, England (UK) and was asked:
"A mathematical question on how to compute the convexity adjustment for an instrument whose payoff was given by a mathematical function."
Tags: analytical, stochastic calculus
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Part of a Research Analyst Interview Review - one of 845 Citi Interview Reviews

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The answer involved knowing about change of measures in stochastic processes.
- Interview Candidate on Jan 4, 2010 Flag Response

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