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      Equi
      3.5★Compensation and benefits

      Model Validation Engineer Interview

      31 Jul 2024
      Anonymous employee
      Tel Aviv-Yafo
      Accepted offer
      Positive experience
      Average interview

      Application

      I interviewed at SuperDerivatives (Tel Aviv-Yafo)

      Interview

      An interview with one of the head quants in the company, mainly answering some pure math questions related to probability. Then a take home assignment with some SDE questions, and studying some subjects from the little Wilmot book for the next interview sessions. Then, 2-3 more interviews with a few senior quants in the company, going over the take home assignment, questions about the reading material and some basic programming questions in C.

      Interview questions [2]

      Question 1

      In the first interview I was asked to analytically integrate the Gaussian distribution over the real line.
      1 Answer

      Question 2

      In the following interview I was asked to solve a simple SDE. This required chiefly knowing about quadratic variation of integration against the Wiener measure.
      Answer question