My first interview

Discuss all those difficult questions here.

My first interview

Postby desperate dan » Tue Aug 21, 2007 9:38 pm

job: junior front office quant, investment bank
duration: approx. 1.5 hours
my background: PhD in pure maths with only a fairly vague idea of finance...

first question (c++): what is polymorphism, what is an abstract class? What is a pointer , what a reference?

second question (probability): what is a martingale, a filtration, a brownian motion, conditional expectation? Give a concrete example of all definitions mentioned above.

next question (banking products): what is a bond, a stock option? a swap (btw: do you know Libor rate for US and Euro zone? "More or less 10%" is definitely not the correct answer they exspect..)? Difference between forward and future contract? The whole call / put / long / short / american / european / asian / reverse / delta / gamma / greek stuff... Finally: what is a power reverse dual currency note? Huh? A what?

next question:
"Do you know the reason for the financial situations at the moment?"
"Yes Sir, it is because of the US subprime market"
"And what happens there exactly?"
"ehhmmm..."

next question (here is a paper and a pen): apply ito's lemma to 2^X, is it a martingale?

next question (brain teaser): two hourglasses. one with a duration of 4 minutes, the other with 7 minutes. How to measure 10 minutes? (OK, not sooo tricky you might think, but try to answer this question in front of two angry looking guys and wearing a tie for the first time in your life...)

next question: some taylor series, exp, ln... (quite hard work if your analysis lecture lies far far away in the past)

next question: what is the meaning of Girsonav theorem and how is it applied in finance?

next question (paper and pen again): solving stochastic diff eq. i do not remember exactly the equation (read Oeksendal I-V and you are very well prepared for such questions)

next question: transform black scholes into heat equation (W00t? heat equation? I can hardly spell this word. I was doing number theory for the last few years...)

To make it short: I was a miserable failure. But next Monday, next interview, next chance... And maybe some new questions to follow.
desperate dan
 
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Postby mj » Tue Aug 21, 2007 11:42 pm

thanks.

Most of these are quite typical.

The one on power reverse duals is atypical and unreasonable.

Almost of all them could be answered using material from my two books.

Pure math phds can get into finance ( I am one!) but you do have to do your preparation.

Do also starting reading the FT and the Economist.

(if you haven't read my guide on www.markjoshi.com do so!)
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Interview questions

Postby dh » Fri Aug 24, 2007 10:57 am

Thank you for openly sharing your experiences during the interview!
In addition to Mark's post to read the FT and Economist I suggest to add the http://www.nzz.ch/ (Neue Zürcher Zeitung) to this list - if you understand German.

Dominik
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Postby mj » Tue Aug 28, 2007 11:45 pm

how did the second interview go?
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Postby desperate dan » Wed Aug 29, 2007 12:40 pm

my second interview

or

the praise of mark joshi's books
(no, I don't know him personally and I also do not receive any payments from him ;)

open position: a junior front office quant position, major investment bank



first topic: pricing forward / plain vanilla equity option. ~45min
Give definition of forward / option? What is the fundamental concept when you price a forward contract (non-arbitrage)? What are the natural boundaries of an option price? What different methods exist to price an option and what are the basic mathematical ideas behind these methods (replication, trees, pde, martingales…)? Give a sketch how you would implement one of these methods in c++. Do that again without including math.h this time, how do you approximate exp(), ln(), how big is the error (Taylor Series)?

To make it short: Read Joshi “The concepts and practice of mathematical finance” chapters 1-7 and “C++ design patterns and derivatives pricing” and do the exercises, brush up your first year calculus when it is a little bit rusty (as it is in my case) and you will do a perfect job!



Next question: brain teaser ~10min
Imagine a chocolate bar (yes, it was a Swiss bank…) consisting of n pieces. How many times do you have to split (? sorry for my English) the chocolate bar until you end up with single pieces? Does the result depend on the shape of the chocolate bar? Proof it (induction).

Additional question: How is it if it’s allowed to lay the already split parts on top of another (sorry for my English) before you split again?
Ha, ha, very funny. At that point I surrendered. I mean I would be able to solve this problem on a rainy Sunday afternoon with a good glass of red wine. But during an interview: impossible, at least for me…



Next question: maths ~20min
Stochastic process, random walk, Brownian motion, Martingales, Markov process: different names for the same thing? Why not? Give definitions and examples...
You choose randomly a number out of the set of R. What is the probability that it is a rational number? What is a measure space? What is a probability space?

Again, Joshi “The concepts and practice of mathematical finance”, chapter 5, 6 and appendix are very useful but I was happy that I read Oeksendal and Rogers/Williams and my maths scripts from university as well



Next question: pricing interest rate product, open discussion ~20min
What is the difference between pricing equity product and interest rate product? Are interest rates changing every second like a stock price or once per day or per year? Is there ONE rate, what different kind of interest do you know? How do you handle the changing shape of the interest rate curve? How does the curve look like today in the US and the Euro zone? Is there a drift in interest rates model, what about volatility? In which models volatility is constant, in which not?

Read Joshi (especially chapter 13) and FT (in this case for actual interest rates, shape of the interest curve)


My preparations for the interview:
- I read the books of Mark Joshi (“read” means: read, understand, memorize, do the exercises)
- I brushed up measure and probability theory and basic calculus
- I tried to follow more or less the market news with FT and NZZ (Ja ich spreche Deutsch, sogar "Puuredütsch" ;)


That time I was more lucky and today I got an invitation for a further interview for this position.


Many thanks!
desperate dan
 
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Postby desperate dan » Wed Aug 29, 2007 12:45 pm

hmm, why there is no edit function for postings? :) quite a few mistakes, sorry...
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Postby INFIDEL » Thu Aug 30, 2007 4:26 am

Thanks for that Dan. No need to be ashamed of your English -- es ist vielleicht besser als mein Deutsch!

A question or two:

Did you go through a headhunter, or did you send your CV direct to HR? Do you feel you can trust headhunters? Which one got you the interview? How many banks have you tried and for how long?

Cheers, or should that be Servus!
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Postby dh » Fri Aug 31, 2007 11:25 am

despearte jan

again, your comments regarding your interviews are very interesting, thanks.

"Puuredüütsch" -> Are you Swiss? So I am! Please feel free to contact me via my e-mail.

...und vil Glück bi de wiitere Bewerbige!
(translation: good luck for the next interviews!)
Dominik
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brain teaser question

Postby j » Wed Oct 17, 2007 12:53 am

Hi Desperate Dan,

Thanks you for posting that. I do have a question though, I did not understand the additional part of the brain teaser:

Additional question: How is it if it’s allowed to lay the already split parts on top of another (sorry for my English) before you split again?

Could you please clarify this? (Unless of course they were joking since you got the first part right).

All the best with your second interview!

Cheers, J.
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Postby tristanreid » Sat Oct 20, 2007 5:24 pm

Hi j,

Consider this example: 4 pieces of chocolate, in a 2x2 square.
If you don't allow overlay, you can break down the middle to get 2 2x1 pieces, then you must break two more times for a total of 3 breaks.
If you do allow overlay, you can break down the middle to get 2 2x1 pieces, then put one on top of the other and break one more time for a total of 2 breaks.

-t.
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Postby tristanreid » Sat Oct 20, 2007 5:41 pm

desperate dan,
Congratulations on the 2nd interview, I hope it went well. If it didn't, I'm sure you will find another place soon. You've already shown that you are good at learning a new field (I don't think every PhD has this ability). There is so much going on in the financial world right now, it's probably not the easiest time to find a job, so I wish the very best of luck to you.

-t.
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Postby j » Tue Oct 23, 2007 4:06 am

tristanreid wrote:Hi j,

Consider this example: 4 pieces of chocolate, in a 2x2 square.
If you don't allow overlay, you can break down the middle to get 2 2x1 pieces, then you must break two more times for a total of 3 breaks.
If you do allow overlay, you can break down the middle to get 2 2x1 pieces, then put one on top of the other and break one more time for a total of 2 breaks.

-t.

Hi tristanreid,

that makes perfect sense - thank you for taking the time to explain it.

Cheers, j

PS. desperate dan, hope you got the job - all the best.
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Postby crnt2 » Tue Dec 04, 2007 7:32 pm

Thank you for sharing your experience.

I have an assessment centre (ick) for an internship position coming up in january. I will make sure to record any particularly tricky questions that they ask.

RE your chocolate bar question: I think that there's an obvious(?) answer to how many breaks you must make: it's n-1, because every break gives you one more piece than you had before. If you're allowed to overlay the pieces then (if you had a very nicely shaped chocolate bar) you can double the number of pieces with each snap, so it should take O(log_2 n) breaks.
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Re: My first interview

Postby chrissbliss » Wed Mar 04, 2009 10:58 pm

I have two questions to desparate dan.

1) How did you manage to get interviews if you had "only a vague idea of mathematical finance"? The market seems to be really bad right now and the posts are 1-2 years old now so maybe it has changed a lot? From the ad's I see now you really seem to have to be able to prove that you are really interested and know quite a bit through self-studies.

2) There's only about a week between the first post when you were "a miserable failure" and the second where you did much better and got called in for a second interview. Did you study Mark's books in such short time? I'm a soon-to-be-PhD in pure math myself and have started to study some financial math in my spare time and although I learn quickly (what seemed the biggest "challenge" so far was to put the basic thinking in terms of arbitrage pricing of derivatives etc in the back of my head) a week seems extremely quickly.

This post might make it seem as if I question what you say, but this is not at all so - I'm just curious as I'm interested in this stuff. :-)

Best,

Chriss
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