Background: very typical; run thru the resume. why should we hire you over other candidates etc., Industry (select questions from many): Why do mbs have negative convexity and what implications does it have for a portfolio; what are option adjusted measures and what do they signify relative to zero vol measures; how do you calculate rolldown and carry etc., Brain teasers: I forget. but I'm sure none of them were original. So, just couple hours of bulk preparation and should be fine.
The interviews are mainly about giving your potential future team a glimpse into your working style, your personality and your willingness to learn. Less