3 rounds: HR (screening) + manager via phone (technical questions, eg: greeks, black scholes, var. Only basic ideas, no need to panic if you are not so sure) + on-site (3 people, each about 30 min, behavior questions + technical, they would give you some hints if you could not answer correctly)

First round - phone screening. Second round - on site interview with the hiring manager and 2 team members. They tested my knowledge and technical skills. Their expectation is for 9.5 - 10.5 hours per day. People were nice. The bad thing is the total silence after the interview. It took them 2 months !!! to send the automatic "Thank you, but no" answer.