First round, phone interview with team leader. Asked about binomial tree, VaR and Ito's Rule. Second round is a take-home test. There are 3 problems and you need to finish it in 3 days. Not easy. Hand in report and MATLAB code. I'm still waiting for the result.
Interview questions [1]
Question 1
Price an vanilla option using 3 methods and the data provided. Send in the answer along with coding.