by **nablaQuadrat** » Fri Feb 25, 2011 8:52 am

I have a couple of them :

Firm 1 :

1. Explain, what LIA is. Derive the LIA rate and explain, why it does or does not depend on the volatility.

2. If the YEN is getting stronger against USD, is the PRDC worth more ? What will ultimately happen ?

3. What angle do the short and the long hand of the clock close at 15:15 ?

4. Derive the HJM drift condition. Why is it important ? Why is the HJM paper considered so revolutionary ?

5. Integrate int_{0}^{T}W_s ds

6. Elaborate on ADI.

7. You work with a 2Y->10Y CMS product. To what do you calibrate it ? Why ?

8. YOu have a swap : at T_1 you pay X1 USD, at T2 you receive T2 USD. You work in the EUR world. (1) What is the expected value of T(0) of this swap ? (2) To which volatility is this swap more sensitive ? (3) How would you price an option to enter this swap, in the period 0 < t < T1 ?

9. Tell me a method to calculate the reserves for a PRDC.

10. If you have a 3 factor model for a PRDC then (a) what is the big danger of this model ? (2) what are the three factors ? (3) How would you cricumvent the "big danger"? (4) What are the disadvantages of your workaround ?

11. Where would you use Hull White and where would you use BGM and why ?

Firm 2:

1. The interest rate is 5%, vol is 0, Spot is 100, strike is 100, maturity is 1Y. Price this call option quickly.

2. Is (W_t)^{\pi} a martingale ? ( W_t is the Brownian )

3. You fall asleep on the beach and you wake up in some time. What is the expected value of the minute hand of the watch and what is its variance ?

4. Tell me about feynman Kac.

5. Tell me, how do you price a swaption with Monte carlo in a LIBOR Market BGM setting ?

6. If you price a CMS spread option in BGM, what are the problems which may occur ?

7. What is an inline function ?

The moral is :

1. The stuff is realtively simple. If you exercise and keep track of the literature ( and have at least SOME talent and feeling ) it if a.s., that you get a position.

2. The interviewers are helpful, mostly. They also want you to answer them and if you take their hints ( and think together with them ) they appreciate it a lot.

3. DO get worried, if HR is involved. Then your soft skills will be inspected, not just your hard skills. And I experienced, that if you perform rerasonably well on the quant interviews, then you could, by your mindset, easily fail with a blonde HR lady.