April 22, 2012 | Author: admin | Filed under: interview
Quant Job Interview Questions And Answers (9781438217031): Mark Joshi, Nick Denson, Andrew Downes: Books
Designed to get you a job in quantitative finance, this book contains over 225 interview questions taken from actual interviews in the City and Wall Street. Each question comes with a full detailed solution, discussion of what the interviewer is seeking and possible follow-up questions. Topics covered include option pricing, probability, mathematics, numerical algorithms and C++, as well as a discussion of the interview process and the non-technical interview. Mark Joshi wrote the popular introductory textbooks "the Concepts and Practice of Mathematical Finance" and "C++ Design Patterns and Derivatives Pricing." He also worked as a senior quant in industry for many years and has plenty of interview experience from both sides of the desk.
- Paperback: 326 pages
- Publisher: CreateSpace; 1st edition (May 25, 2008)
- Language: English
- ISBN-10: 143821703X
- ISBN-13: 978-1438217031
- Product Dimensions: 9.9 x 7 x 0.9 inches
- Shipping Weight: 1.6 pounds
Hands on practice
I completely agree with the previous opinion.
I have been interviewing with investment banks for some period. The permanent difficulty has been how to prepare for the interview. Who is a bit familiar with the topic knows, that virtually any subject ( from Lie groups and connexions to IFRS bookkeeping standards ) can pop up during the interviews. Given the time constraint for the preparation theses technical interviews are always a “pain in the arse”.
But not any longer. Actually the problems in this book ARE the questions which are asked by the firms. Just to name a few :
1. Solve the OU equation and get its moments ( Lehman )
2. What are martingales, filtration, etc ( BarCap )
3. Generate exponentially distributed random numbers in 2D ( Morgan Stanley )
4. The barrier options and their vega ( ABN Amro )
5. Hedging and its practices ( a small IT firm in Munchen )
6. And a LOT ( really ) of coin throwing, binomial trees, mostly associated with practical finanacial problems ( CDS, ameriacan and barrier options, etxc).
7. Soring algorithms
These problems ARE covered in the problem set. So if you can solve, say, 70% of all questions it must be sufficient to get through the interviews.
There are some problems with the book. It should contain a bit more stuff on PDE’s and first generation exotics. E.g.
1. Schetch the quantitative behavoiur of a solution of a double barrier for a given payoff
2. Derive the price for a perpetual up and in option ( etc )
I am recommending this book with the books of Joshi ( Concepts of Finance ) and Rebonato ( the perfect hedger and the fox ).
If you interview for a senior position these books may also suit you, since you are often grilled with these coin throwing things even for a VP position.
This is a great book if you need to prepare for quantitative interviews of any kind, and not just quantitative finance interviews. The book has a nice collection of logic and probability puzzles which get asked at a variety of interviews. Then there are lots of Black-Scholes, option pricing questions which might be of help to those facing quant interviews. There are math questions from complex analysis, matrix theory that I found really good.
All questions are solved, and the author also gives some follow up questions after the solutions. I often found some of these follow up questions very hard, and maybe the author can give some hints to them too. The author runs a website where you can interact with him, but then I am sure he is too busy to be answering all queries. So maybe in a future edition he will drop some hints to some of the harder follow up problems too.
And in the probability questions, the author doesnt use ideas from stochastic theory, which could lead to some problems being solved really quick. So maybe the author should also consider including alternative solutions to questions, whenever and whereever possible.
Good, but could be more clear
I am a math finance student who will soon start a summer internship on Wall Street. I want to leave feedback for the best and worst books that I used in my studies so far.
The book is well balanced. The advice on the interviewing process and what should expect there is excellent. Topics covered:
Coding in C++
There are extra questions (but with no solutions) in each chapter.
The solutions are good and detailed. One comment is that the questions are thrown together in a way that makes it hard to know which ones are easy/hard, and are more likely to be asked in first interviews. But if you know everything in the book you look really good on interviews.
I heard this book useful. Read some pages. It is good. I knew where I should improve myself. This book cannot provide the knowledge to you. But can let you know where you should learn and recommend the books in that area to you.
A great book for interviews
This is a great book for quant interviews. It covers all the topics. But it includes a lot of mathematical deductions, so before reading this book it is better to go over all the math.
This is an excellent buy for anyone looking to get into the quant world. Plenty of advice, examples, exercises and explanations over all topics you may face at an interview.
Essential kit for job-hunting
This red book is definitely one of the best places to start preparing your quant role interviews. Not only all answers to the problems in the chapters are provided, but some additional questions are also placed in the solution section to stimulate more thinking. Reading this interview question book in conjunction with the other two masterpieces by Professor Joshi (i.e., Concepts & C++) would undoubtly give you all the ingredients to a successful interview!