Hi All

We would like to share with you the release of this quant interview book, as we thought the QuantConnect community would be a great place to find first-hand quality feedback. We have compiled the most popular brainteasers in banking as well as the concepts that you will be required to know after few years as a quant (sometimes from day 1 for some positions) like local volatility or Ornstein Uhlenbeck processes etc.

Disclosure: I am the author of the book. Feel free to ask me questions!

(NB please if you buy and like the book, please spare 3 min to drop us an amazon review, they are very important and quite hard to get)

Below 3 brainteasers as examples: (you can read more if you just click on "Look inside" in amazon ;))

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?