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Junior quantitative analyst Interview Questions

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SUNRISE FUTURES
Junior Quantitative Analyst was asked...14 September 2017

How does delta of a call vary with time?

2 Answers

Change from a S curve to a Z curve with decreasing time to maturity

Deep ITM -> 0, Deep OTM .>1

SUNRISE FUTURES

How do you delete a node in BST?

1 Answers

First identify some basic cases (leaf node, just has one side of tree) Then find the minimum value from the right subtree and replace the value of target node with value of that node. And delete the minimum value node by calling deleting on the right subtree Less

Smarkets

Can you please tell us about one of your previous projects (the next hour will be spend discussing it)

1 Answers

I spoke about my Master Thesis, in hindsight I would have preferred discussing a real life experience with real life problems, that would have been much more relevant to the role. Less

Legal & General

What experience makes you good for this job?

1 Answers

I listed all my experiences

MEAG MUNICH ERGO AssetManagement

Bond negative convexity

1 Answers

Can you please add more questions? Like what technical and programming questions were asked? Less

Squarepoint Capital

What would happen to the variance of whole data if the whole data is duplicated.

1 Answers

variance is a measure of how the data is distributed wrt the mean, so it will remain the SAME Less

AKUNA CAPITAL

If three points are randomly selected on the sides of a square, what is the probability that the triangle formed by the points contains the center of the square.

1 Answers

The probability is 1/4. If you fix the first point, and when the second point lands at a distance x from the first point (from the shorter side) the probability is x / 4. On average x will be equal to 1. Less

AXA

What is the theta of an option?

1 Answers

Theta is the time value of an option, or the sensitivity of the price of the option to a change in time, getting closer to the date of expiry of the option. Less

Squarepoint Capital

n random variables x_i, the coefficients of every two random variables are all equal to \rho. What is the range of \rho.

1 Answers

[-1/(n-1),1] Var(Σ X_i) = Σ Var(X_i) + Σ Σ Cov (X_i, X_j) = n*σ^2 + n(n-1)*σ^2*ρ >= 0 so, ρ >= -1/(n-1) Less

No technical questions or brainteasers. Just questions about motivations for looking for a new job, background skills, current job experience, investing philosophy, etc.

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