Cracking the Finance Quant Interview: 51 Interview Questions and Solutions

J

jeanpeyre

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8/2/20
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Andy Nguyen said:
Can you post some sample questions here @jeanpeyre ?
Click to expand...
Hey

Sure, if you click on the "Look inside" in Amazon you will see a preview of the breainteasers section. But I could add here few questions:

Two sided corridor with rates:
Let Bt be a Brownian Motion and u and d two positive real numbers. We consider an option which pays 1 if Bt reaches u and remained greater then−d since inception
∃ t0 : Bt0=u ; ∀ t ∈ [0,t0] , Bt>−d
payment is made when the barrier is touched. Calculate the price of this option with rates r >0.

The binary hedge:
A trader suggests the following binary hedging strategy for a call option:
•sell a call option at strike K > S0
•buy the stock at K when St is increasing and crosses K
•sell the stock at K when St is decreasing and crosses K
What is wrong with this strategy?

End of times:
Let Xn be a sequence of positive random variables, such that E[Xn] =a and
limn→+∞Xn= 0 a.s
show that limn→+∞E|Xn−K|=a+K
Can this result be applied to a financial option?
 
wish someone would make one like this with heavier machine learning/stats/regression/data wrangling focus, with difficult questions in those areas
 
Hello ! I bought your book, I like it, I found 2 mistakes :

Correction of 1.12 : It's as if the statement suggested throwing coins and not dice, but the reasoning for the solution remains the same.

But 1.13 is the same statement as 1.12 while the correction is quite different, I think there was an error of statement for this question. Would it be possible to have it?
 
Mure said:
Hello ! I bought your book, I like it, I found 2 mistakes :

Correction of 1.12 : It's as if the statement suggested throwing coins and not dice, but the reasoning for the solution remains the same.

But 1.13 is the same statement as 1.12 while the correction is quite different, I think there was an error of statement for this question. Would it be possible to have it?
Click to expand...
Hey, great to receive feedback (mostly positive I see) and you are right, the questions 1.12 and 1.13 are now corrected, the corrected version will be live tomorrow (5th Sep).
If you liked the book may I kindly ask you to take few minutes to write a review on the amazon book page, the Amazon search engine is mainly driven by reviews and we are still looking for our first reviewer!

Thanks
 
Hi guys

Thanks again to quantnet, we have received our first review on the first edition of cracking the finance interview. It was a 5 stars review and we suspect it came from the forum so thanks guys.
Having collected a lot of feedback we have decided to publish a new edition with 75 questions, but also a slightly larger format (7/10 versus 6/9 before) and white paper (instead of cream). We hope you like this new format. A French version is coming soon!

Cracking the Finance Quant Interview: 75 Interview Questions and Solutions: Peyre, Jean, Ducourt, Editions: 9798688190557: Amazon.com: Books

Buy Cracking the Finance Quant Interview: 75 Interview Questions and Solutions on Amazon.com ✓ FREE SHIPPING on qualified orders
www.amazon.com

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