Quantitative Research Associate Interview Questions in New York City, NY | Glassdoor

Quantitative Research Associate Interview Questions in New York City, NY

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Quantitative research associate interview questions shared by candidates

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If implied volatility is lower than realized, how does one make money hedging a call option?

2 Answers

hedge with implied vol

buy the call (the option is "cheap") and delta-hedge it. You will be long implied vol and it's good for you since you expect it to rise !

1. How do you simulate stock price with VBA? 2. Std.=? 3. VaR=? 4. Three doors, it takes you 1 minute to go through the first door, it also takes you 1 minute to go through the second door, it make your speed slow down 1/2 after going through third door. Only the first door is the right way to go out. You choose each door with the equal probability. How much time will you go out in expectation? 5. You have n 1-meter long ropes, and you could connect two nodes together n-1 times. What is the probability for you to finally get a whole n-meter long rope without rings?

2 Answers

Derive Black Scholes/ Sample mean and confidence intervals/ Forward contracts/ plenty of Stochastic calculus in Superday/ Basic probability - coin toss (probability of getting two sixes in a row in 3 tosses)

Brainteasers like rolling dices, asset pricing models, sto calculus, linear algebra, etc.

Nothing strange was asked, familiarization with their work may help