quant skills ( VAR, greek analysis?)

Discussion in 'Professional Trading' started by congoboy, Jan 4, 2008.

  1. congoboy


    I often hear from people talking about strong quantitative skills. or strong quantitative mathetical skills. I have a job interview with a hedge fund and they want someone with strong quant skills. I want to make sure I don't miss anything as they might ask me some questions to test me.

    What exactly are these? Can someone please post a list of topics so if I don't already know them, I could look over them.

    I appreciate all the help. Thanks
  2. tc5


    How did you get that interview if you don't even know...?

    Here are some topics:

    Black-Scholes model
    Volatility smile/surface and modeling
    Exotic options
    Monte Carlo
  3. congoboy


    thanks, what else are there? i need every possible topic i can get so i can study it up.

    I have track record which is why they are interviewing me. quant skills are extra. i just dont want it to be the weakling in the interview.
  4. Review some ARCH models like GARCH(1,1) and some basic probability theory.
  5. One


    Take a look at the lists of course work and classes for a quantitative finance degree at Columbia or U or Chicago on line. Should provide a reasonably comprehensive list for your purpose.
  6. There are a couple of things you may want to consider before going to your interview.

    First, you might consider that it is going to be very difficult for you to learn complex subject matter like GARCH well enough to have a conversation with someone who does have that background. A skilled person can tell within minutes whether you actually know what you are talking about.

    If you come across as ignorant of the important topics or you are unable to demonstrate a strong foundation after claiming superior knowledge, it will look at though you are a con artist and it may cause the interviewer to become angry, because in effect you have wasted his/her time.

    During my career I have cut short interviews on several occasions because it was clear that the candidate had insufficient background. There are after all, other people with track records looking for jobs.

    At least from my point of view, it would be better to admit your lack of background, and provide instead some examples of your "enthusiastic interest" in these subjects. Know the main texts, the basic concepts, as well as the "movers and shakers" in the field. At the very least, that is honest and presents you as willing to work to improve yourself professionally.

    Good luck to you

  7. congoboy


    I looked at ARCH and all that. It's not possible for me to learn al that now unless I have a couple of months.

    I did not claim to have superior skills. It is one of the components of the interview, not a base component.

    i will however try to know some basic things like VAR, RAROC, etc. porbability distr.
  8. Here are typical question we use to filter out retards, I work for a prop desk at an IBank as a developer not really Quant but I've seen similar questions used for many quant roles:

    Question: Given arbitrary integer, come up with a rule to judge if it is divisible by 9. Prove it.

    Question: Roll a penny around another fixed penny in the center with edges in close contact. After moving half circle around the center penny, you will find the penny in motion has rotated 360 deg. Why?

    Question: very heavy wall moving at 60mph, a ball moving same direction at 120 mph. What is direction and speed of ball after ball hit wall.

    Question: A square with four corners A,B,C,D. Suppose you start from corner A and have equal chance to go to neighboring corners B and D; After reaching new corner, you again have equal chance to go to its two neighboring corners. The time consumed to travel on each edge is 1, what is the mean time to come back to A.

    Question: What is the properties of where p is prime number larger than 3

    Question: A stair of 100 steps. You can either climb either one step or two steps but no more each time and you can walk up entire stair any way you like with rule above obeyed. How many possible combinations of ways to finish the walk?

    Question: Given variances and covariance of X and Y. Z=a*X+b*Y. Calc variance of Z.

    Question: There are 14 identical-looking balls. 13 of them have the same weight while one of them is heavier than the rest. What is the minimum times you can weight to identify the heaviest ball ? How do you generalize for n balls
  9. nitro


    I can answer every single one of these questions. All but the penny question (and maybe the ball question) is testing knowledge, not imagination and problem solving skills.

  10. so what is the answer to the penny question?
    #10     Jan 7, 2008