AMA: Cracking the Finance Quant Interview 

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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?

Cracking the finance quant interview 

 

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


Personally, I'm a fan of the Wilmott one but found it to be somewhat "fluffy". I am intrigued by the fact that yours comes with a math handbook (which iirc is not in Wilmott) -- how extensive is it, exactly?

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Hey Aaron. We have designed the math handbook to contain the formulae that you want to double check before entering a quant interview. So you will find ito formula, ito isometry definition of a martingale or martingale stopping theorem etc... We have also included some more general math that you might also want to refresh like taylor series or a semi-positive definite matrix ...

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Hi Jean,

I bought the book, however, I noticed that it doesn't teach the concepts necessary, it's more just question and solution. Could you recommend any free resources (especially for stochastic calculus/martingales/probability theory) for users so that they are able to answer the questions?

Best,
Shile Wen 

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


Hey Shile

First of all thanks for trying the book, thanks for the feedback and really sorry it didnt fully satisfy you. However all quant interview books (The joshi, the heard on the street...) are similar from that point of view: they contain questions asked in interviews and their solution. They allow the reader to know what he could expect in a quant interview, and the currently trending questions. If you apply for a quant position, in most of them stochastic calculus is clearly stated as a prerequisite on the offer, and if you dont know what is a martingale, you are probably not ready. So from a certain point of view the book served its purpose as you can see the concepts that you need to work on.

Anyway, the good news is you bought "cracking the finance quant interview" at a discount compared to its competitors (lauch offer), and even if you have no clue at all about stochastic calculus you can still use the brainteaser section for general finance interviews.

So regarding stochastic calculus fondamentals, if you type "stochastic calculus course pdf" in google a handful of courses are listed including one from princeton and one from MIT.

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


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