DW
|
|
| Total Posts: 504 |
| Joined: Jun 2004 |
| |
|
Thought I would include a copy of the math interview prep I give to entry level and junior candidates. It just serves as an overview of what you should be doing in preparation for quant interviews and why. It is not and not meant to be a comprehensive revision guide, meerely a pointer in the right direction.
I wouldn't mind some feedback from the more senior people here on the centiments contained in this and the utility value of it. Any suggestions that can be made to developing this would be useful too. I am also currently putting one together on programming in C++
Ok just realised you can only upload Pdf or Zip files of which I can create neither from the tools available to me on my work PC - ill add it to this post from home tonight |
|
|
|
 |
DW
|
|
| Total Posts: 504 |
| Joined: Jun 2004 |
| |
|
OK - here it is: This is intended for entry level candidates seeking a position in quant finance - I have tried to highlight some of the classic mistakes made, misconceptions and tried to give advice as to what people should be doing to prepare for the technical side of interviews. It is not complete as of yet and I would not mind some feedback or indeed some suggestions as to what else to add. |
|
|
 |
chiral3
|
| Founding Member |
| Total Posts: 4345 |
| Joined: Mar 2004 |
| |
|
| A friend of mine, wo is very intellegent, blew a GS interview recently because, at the very end, after all the hoops, he was asked to solve a simple ODE. I was meeting him for pints in Tribeca at the reade street pub. He comes in and writes the problem on the paper table cover, and we both started laughing, because we could do it in our heads (it was like y''-y=0 or something) but he blanked at the end of the interview. It wasn't a very junior position either. |
What do you mean by **drag** the range"? If you just mean expand the column width, that doesn't work. NUM! |
|
|
|
Strange
|
|
| Total Posts: 789 |
| Joined: Jun 2004 |
| |
|
I myself have blown an interview because I could not figure out a forward rate (twice in a row). It was a mental block thing, since the questions were something to the order of "r(5y)=4%, r(1Y)=2%, what's f(1y,5Y)?". Nevertheless, it i was staring at it and made a mistake in division of 18 by 4... |
'Va te faire foutre, putain d'espèce d'enculé!'
|
|
|
Nonius
|
| Founding MemberNonius Unbound |
| Total Posts: 10185 |
| Joined: Mar 2004 |
| |
|
| this is what I hate about interviews. there are very few jobs in which you need to think so fast and under pressure that minutes count. this is even true when you are pricing stuff on the desk. for exotics, we are not talking about a requirement to figure pricing out in minutes. I would think that a deeper thinker is more valuable than a shallow and yet quick thinker. maybe I am wrong. |
No more Mr. Nice Guy.  |
|
|
|
kr
|
| Founding MemberNP Raider |
| Total Posts: 3560 |
| Joined: Apr 2004 |
| |
|
At least for what I'm doing at the moment, being able to get the answer in 5 different quick and dirty ways is better than being able to produce a single, highly precise answer. There is plenty of time to think, except when your superiors are totally on the wrong track and waste precious time (weeks) fiddling with the stupid stuff and then blowing the stuff that needs to get done in the last day. Actually, my fear (corroborated by at least one CDO 2ndary trader) is that there's too much of the latter and not enough of the former - yes, you can MTM all fucking day long but if somebody says 'hedge', this guy is just going to debate the relative merits with the risk manager for the next 4 weeks.
I'm not really a differential equations guy at all, but I think the quiz is right in emphasizing this stuff. I do think this quiz is very heavily equity-based, and that stuff is of secondary or indirect relevance for people in credit. Most of what you need in credit falls under the markov/stoch processes areas, but should be of practical rather than theoretical experience (i.e. "let's say you model a risky bond's default process as Poisson... tell me all the interesting points"). |
my bank got pwnd |
|
|
DW
|
|
| Total Posts: 504 |
| Joined: Jun 2004 |
| |
|
| Useful advice from you all, thanks. |
|
|
|
|
Beavis
|
| The Excommunicated |
| Total Posts: 910 |
| Joined: Apr 2004 |
| |
|
| Strange - do you mean f(1Y, 4y)? |
|
|
|
Strange
|
|
| Total Posts: 789 |
| Joined: Jun 2004 |
| |
|
forward rate from 1 to 5 or "One Into Four" - either way it's the same thing  |
'Va te faire foutre, putain d'espèce d'enculé!'
|
|
|
|
Beavis
|
| The Excommunicated |
| Total Posts: 910 |
| Joined: Apr 2004 |
| |
| |
|
chiral3
|
| Founding Member |
| Total Posts: 4345 |
| Joined: Mar 2004 |
| |
|
| I'll tell you one thing, as per DWs guide, if you are with me and you can't do dS=mu*S*dt, you're dead. That is moronic, and it means that you memorized answers or something. That is a real problem. |
What do you mean by **drag** the range"? If you just mean expand the column width, that doesn't work. NUM! |
|
|
|
Beavis
|
| The Excommunicated |
| Total Posts: 910 |
| Joined: Apr 2004 |
| |
|
| There's no stochastic element, so it's just St = So exp(ut) ? |
|
|
|
kr
|
| Founding MemberNP Raider |
| Total Posts: 3560 |
| Joined: Apr 2004 |
| |
|
whew! lim sigma->0, right beav?
truth be told, I actually had the ole Boyce/diPrima open this weekend, thinking about certain tricks (anybody know anything interesting about the geom of DE, i.e. like the hypergeom DE and its relation to alg geom?) |
my bank got pwnd |
|
|
|
Beavis
|
| The Excommunicated |
| Total Posts: 910 |
| Joined: Apr 2004 |
| |
|
i don't get it. are you making fun of me or am i right? |
|
|
|
chiral3
|
| Founding Member |
| Total Posts: 4345 |
| Joined: Mar 2004 |
| |
|
| You're fine, man. I assume that St is the same as S_t (indexing) and that the u in your exponent should be mu, so S_t = S_0 exp(mu*t). I knew what you meant. I just meant that if you are going for a quant job, even if you never solved an ODE in your life, you should be able to do that. |
What do you mean by **drag** the range"? If you just mean expand the column width, that doesn't work. NUM! |
|
|
|
Beavis
|
| The Excommunicated |
| Total Posts: 910 |
| Joined: Apr 2004 |
| |
|
| Yeah, i can answer most simple and moderate Stoch calc questions, and many difficult stats questions. But i won't be going for any hard-core quant jobs since I won't have a PhD - just an MFE. But i'm looking for jobs on trading desks, so i should be able to find something. Got a couple of interview for internships coming up in the next couple weeks and i'm trying to get a grasp on most of the questions. Thing is, i'd probably be able to answer 95% of them if i had time. A lot of those interview Q's come out of left field and may not have been on your mind for a while - know what i mean? |
|
|
|
DW
|
|
| Total Posts: 504 |
| Joined: Jun 2004 |
| |
|
OK - I have completed my brief guide interview preparation guide - it is designed for entry level and junior quants and is by no means a comprehensive revision guide - more something to highlight classic mistakes and provide general insight into the thoughts of many of my interviewers.
Attached File: Interview Prearation for Junior Quants.pdf |
|
|
|
|
Johnny
|
| Founding Member |
| Total Posts: 4331 |
| Joined: May 2004 |
| |
|
DW, that looks really useful.
IK, can we put this in the Library please?
|
|
|
|
monkeyA
|
| Mr. Ass to you |
| Total Posts: 834 |
| Joined: Apr 2004 |
| |
| |
|
DW
|
|
| Total Posts: 504 |
| Joined: Jun 2004 |
| |
|
| It's OK - I have a lot of respect for Mr Falcon Crack, but I also agree in part with the second feedback comment left on amazon - Whilst it does provide a useful insight into the types of questions one could expect it does not give much on how one should approach an interveiw. |
|
|
|
