Citi Interview Question: A mathematical question on ho... | Glassdoor

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.
analytical, stochastic calculus

Interview Answer

1 Answer


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

Interview Candidate on Jan 4, 2010

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