UCB MFE Typical questions during interview

Brad Watson

New Member
Hello, awesome community

I would be very happy, if anyone with interviewing experience shared their knowledge. I have seen a lot of people claim they were asked "technical" questions. What kind of technical questions does one usually receive? If possible, please write in details, every single trifle could be helpful.

Thank you!
 
Expect something along the lines of a typical quant interview: calculus, finance, brainteasers, etc..
 

Brad Watson

New Member
Expect something along the lines of a typical quant interview: calculus, finance, brainteasers, etc..
For some reason, I can not come up with anything close to a definition of "typical question", this bothers me a lot. Can you give an example? Even one example could clear everything for me :) Thank you for spending your time in here!
 

vertigo

Member
here are some questions i have asked in interviews / have been asked in interviews / would ask / enjoy asking.

Interest Rates

· What is a swap? What kinds of swaps are there? How would you price an interest rate swap?
· What is the difference between a swap rate and a swap spread?
· When one is trading a rate, one is taking which type of risk?
· Explain what duration and convexity are.
· What is a swaption? What is a Bermuda option? How do we calculate the risk neutral price of a Bermuda option? What/How/Why is backward induction, Bellman’s equation and what/how/why do we use it to find the risk neutral price of a Bermuda option?
· What is a cancellable swap? How can you decompose a cancellable swap into a swap and an option? How would you price it?
· What are the two main classes of interest rate models? Explain the pros/cons of each.
· What is mean reversion? Specify a process that captures mean reversion and solve it? Why does it matter whether interest rates follow mean reversion?
· What are the different types of simulation to implement interest rate models?
· How do we reduce simulation noise?
· What is the SABR model? What do the parameters mean? Is the sabr model a good model for interest rates? Explain how, if you were a trader, you would determine the parameters? Now do the same if you were a quant.
· What is a constant maturity swap?
· What is the market practice for pricing interest rate products?
· What are some uses of interest rate options?
· What is OIS? Compare the use of ois discounting as opposed to LIBOR discounting.
· What is an Asset Swap Spread? What is a Z-spread? What is a V-spread? Why are these spreads useful for interest rate options? Can they be traded? If so, how would you trade them?
· Explain the future/forward convexity adjustment?
· Who is the buyer/seller/lender/borrower in a repo transaction? What about in a reverse repo transaction?
· What is the problem with modeling instantaneous forward rates as a lognormal process?
· Are derivative prices relative prices or absolute prices? Should the expected PnL change given which numeraire is chosen? Explain the connection to martingales?
· What is stochastic discounting? Explain what a forward measure is?

Foreign Exchange

· What does the statement ‘I buy dollar swissy’ mean?
· Explain the difference between a EURUSD call option and a EURUSD put option?
· What would it mean if EURCHF = 1.2 ?
· What is a pip / basis point? How many pips constitute a big figure?
· If EURCHF = 1.3 yesterday, EURCHF = 1.2 today and EURCHF = 1.5 tomorrow, has CHF strengthened compared to EUR?
· What is purchasing power parity?
· What is triangular arbitrage?
· What is the bid ask spread?
· Explain, through arbitrage-driven arguments, how to price an FX forward rate?
· Explain how to commit FX forward-spot arbitrage? How does it connect to ‘buy low sell high’?
· If EURCHF = 1.25, the 1Y EUR interest rate = 3%, the 1Y CHF interest rate = 5%, what does this mean? What will the 1Y forward rate be? What is interest rate parity?
· What is inflation and what causes inflation?
· What is a future, in an FX context? What are the differences FX futures / FX Forwards?
· What is the difference between a FX swap, a cross currency swap and a cross currency interest rate swap?
· What is the difference between an FX outright forward and a FX spot-forward swap?
· Explain how a cross currency swap can be related to a series of FX forwards?
· Why do institutions care for FX swaps?
· Do FX American options cost more than FX European options? Why / why not?
· What is the difference between simple interest and compound interest? Why is this question relevant to FX?
· What is put call parity for FX options?
· What is delta, gamma, rho, theta, vega?
· What is in the money, out of the money, at the money for FX options?
· What is vanna and volga? Why are they relevant to FX Options?
· What is implied volatility? What is the market practice for pricing FX options?
· What is an At The Money Forward? Which currency pairs have the ATMF convention? Why?
· What is the volatility surface?
· What is an exotic FX option? Why do companies purchase exotic FX options?
· Is the Black Scholes model is rejected by how FX options are quoted? If so, how can you fix the black scholes model to accurately price FX options?
· What is a call spread? what is a straddle? What is a risk reversal? What is a strangle?
· What is a digital option? What is a barrier option? Explain why are both popular in FX markets.
· How can you decompose a European barrier option into a vanilla and a digital? Why?
· What is the delta, gamma, rho, theta, vega, vanna, Volga for a vanilla, a digital and a barrier?
· Which Greek parameter is the most important for FX options?
· What was Bretton Woods? What was Bankhaus Herstatt? Why are they relevant for FX?
 

mhy

Active Member
Why would an admissions interviewer ask you those detailed questions about SABR and the Greeks and MBS and trading strategies? Wouldn't the average incoming MF Estudent have absolutely no clue about most of these things?
 
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