View All num of num See all Photos Citi This employer has taken extra steps to respond to reviews and provide job seekers with accurate company information, photos, and reviews. Interested for your company?Learn More. www.citigroup.com Employer Engaged Overview Reviews Salaries Interviews Jobs Photos Benefits 3.1k Reviews 6.3k Salaries 1.0k Interviews 5.7k Jobs Follow Add Review or Salary Follow Add Review or Salary Interview Question Research Analyst Interview London, England (UK) Citi 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 See more , See less 8 Answer Add 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.