3 rounds of interview detailed questions on statistics, Math and Finance.
Python coding assignments are given on derivatives including single leg straddles and other indicators
Round 1: Screening Interview (Basic to Intermediate Questions)
Statistics & Probability
Explain the Central Limit Theorem and its significance in financial modeling.
What is heteroskedasticity? How do you detect and correct it?
Define p-value and its importance in hypothesis testing.
What is a normal distribution? How does it differ from a lognormal distribution in finance?
Explain autocorrelation and its role in time series analysis.
Mathematics (Calculus & Linear Algebra)
Derive the Black-Scholes formula for a European Call option.
What is Ito’s Lemma? Provide an example of its application in stochastic calculus.
Explain Eigenvalues and Eigenvectors and their role in Principal Component Analysis (PCA).
What is the Jacobian matrix, and why is it important in optimization?
Define and differentiate convex and concave functions.
Finance & Derivatives
What is implied volatility? How is it different from historical volatility?
Explain delta, gamma, theta, vega, and rho (the Greeks) in options pricing.
What are the key differences between European and American options?
What is a straddle strategy? When would you use it?
Explain how the Monte Carlo method is used in options pricing.
Python Coding (Conceptual)
How would you implement a Monte Carlo simulation for option pricing?
Write a function to compute the Greeks for an option.
How would you construct a volatility surface using Python?
Explain vectorization in NumPy. How does it improve performance?
Implement a function to calculate Value at Risk (VaR).
