Agreeing with Azamat, the following questions have been asked previously in Baruch MFE interviews from chasedream.com to give prospective applicants an idea (hope it helps) :
kappa finance
put-call parity
black and scholes pde
· Calculus: differentiate x^x, integrate lnx, Taylor Polynomial(one variable & multivariable)
· Linear Algebra: Explain eigenvalue, eigenvector, trace
· Statistics: pdf of exponential and normal distribution, mean, integrate normal density function from 0 to infinity(= 0.5...),
how the cum density function of normal distribution would come up to 1（别人被问到的，面经里也有）
· Finance: Black-Sholes model and its weakness, value at risk, interest rate swap and how to value it, put-call parity
· 还有一个brain teaser question.
Bond yield? The concept of how to calculate?
The relationship between the option price and the stock price is kind of how that δ, anyway, do not understand
What is encapsulation and polymorphism ... I do not know ...OOP
· Taylor Polynomial, how to use it in one variable and multi-variables
· Probability: X~N(0,1), Y=X^2, pdf of Y
- integral lnx/x
- integral x^x^2
- pdf for normal distribution and exponential distribution. sigma and miu for normal and standard normal distribution.
- put call parity.
- Taylor polynomial 2nd order f(x,y)=xsinx
- a european option is 5 dollars. how about americcan option with same strike price and maturity.
The value of the option formula max {(K-S), 0} Shasha's
7 Call Put Parity, how arbitrage
8 option prices binomial model, how arbitrage, how to count the delta (lz in delta count Yuncai the been brooding after the interview, after the end I told Jim that I know the the BS formulas delta how to count, and then Jim teachers patience to explain it to me, and maybe not the same thing, blabla ...... amount I sb)
Q5 wood have to do it, Tai-Ho teacher was very generous and gave me the a probability title:
9 box two coins, a fair, a biased (70% likelihood of head) at random from the box to take a coin throwing three are heads asked Fourth probability of throwing or head (lz Then answer Wong The teacher immediately asked is how to get out, Jim is, ah yes, then do not ask, do a I do not know my questions do not do ...)
Solving differential equations. y '+ x y = 1
Speak exponential distribution, the mean is 2 when, say exponential distribution
If x, y independent and exponentially distributed, if x / (x + y) C + + problem. Structure and class distinction
interest swap definition, I said the example of fixed interest floating interest What he said is the swap rate, I have not heard of this. . I said two difference does not seem to listen to his response. . .
wiki look: Swap rate is the fixed rate that makes the market value of a given swap at initiation zero.
A binary tree, the initial value is 10, 20 and 5 respectively become a probability of 0.5, Risk-free Rate is 0. Seeking the price of the call option
Bayes rule of conditional probability
Binomial option pricing – calculate risk neutral probability and option price question
Calculate Eigen values of a simple 3x3 matrix
Assumptions and limitations of Black and Scholes
Linear algebra – cholesky decomposition – LU decomposition
