i**w
发帖数: 71 | 1 背景:fresh physics PhD
还没offer,但年前基本上不会再折腾了。
有重复。基本上都是很标准的题。
简单的题如果人家想问倒你也是很容易的。
面试书recruiter推荐
1) Mark Joshi: "Quant Job Interviews: Questions and Answers". I have
heard very good things about this book.
2) Xinfeng Zhou, "A Practical Guide to Quantitative Finance Interviews"
个人觉得非常有用， 大部分问题都在这两本上。
算法，C++, stochastic calculus 就看比较标准的几本。
- sqrt(i)=?
- You and me roll a dice,first one gets a six wins. You roll first. what
is the probability of you winning?
- A stair of n steps. Each time you step up 1 or 2 steps. How many
different ways are there to reach the top? what is the asymptotic limit?
- Moment generating function of standard model.
- Write a simple function to return Fibonacci number F(n). how to avoid
overflow?
- Do you know any variance reduction technique?
What is control variate method? How and why it works?
- What is the future contract? Under what situation is the future
contract priced higher than forward price?
What is the effect of the recent quantitative easing of fed?
- Explain one sorting algorithm. How does the merge sort work? What is
the running time for merge sort?
How does the quick sort works? What is the running time for the quick
sort?
In practice, how do to choose among these two algorithm
- Given a Brownian motion starting from 0 and two barriers 'a' and '-b',
what is the probability of hitting barrier 'a'
before hitting barrier '-b'?
What if it is a process with drift?
- given a set of y_i's and x_i's, what is the linear regression beta?
how to interpret in terms of (co)variance? what is the correlation
between x_i and the residuals?
- what is the c++ sort function? explain the heap sort. why running time
is O(nlgn)? what is quick sort? why it is O(nlgn)
- A european call option with strike 40 expires in 1 year. The current
spot price is 50. what happens to the call price as the volatility goes
to infinity?
- Given two buckets of volumes 5L and 3L, how to obtain water of 4L?
- A stair with 10 levels. Each time you step up either 1 level or 2
levels. How many different ways are there to get to the top?
- what is AR, GARCH? what is GARCH used for in practice?
- what are the programming languages that you used? how confident are
you in programming?
- Describe one of the Monte Carlo simulations you have done.
- Given Brownian motion W, integrate WdW from 0 to T. how to interpret
(dW)^2 = dt? how to do the integral by definition? (Shreve's book)
- What is beta given vector observations: Y and X? what is the
requirement on X to make it work? what if two observables in X are
highly correlated? what technique can be used to fix the problem?
- what is semi-positive matrix? Prove covariance matrix is semi-
positive.
- Fibonacci sequence. write a function that recursively calculate F(n).
what is the running time? what is the asymptotic limit of F(n)? How to
obtain simple lower and upper bound of F(n) when n is large.
- Give an situation when you could have a memory leak.
- Randomly pick three points, what is the probability that they will be
on the same hemisphere?
- How to price European option using Monte Carlo? (Assuming stock price
follows geometric brownian motion) Is Monte Carlo applicable in pricing
American option?
How does the binomial tree pricing work for American option?
- Place cubes on a 10x10 grid. Place 1, 2 ,3 ..., 10 cubes in the first
line. 2,3,4,...,11 cubes in the second line. 3,4,5,...,12 cubes in the
third line. ... 10,11,12,...,19 cubes in the 10th line. what is the
total number of cubes(intuitively)?
- X1, X2 are standard normal, with correlation rho. What is the variance
of X=X1+X2.
- X1 and X2 are independent random variable with pdf f and g. what is
the pdf of X=X1+X2? What is the relation between Fourier coefficient of
convolution of two functions and
that of individual functions?
- Explain the copy constructor.
- Given uniform(0,1), how to generate a random variable with pdf f ?
- Given an example of variance reduction technique.
- What is the distribution of independent standard normals?
- Given two arrays, each with distinct integers, give an efficient
algorithm to find out the common elements.
- How to draw normal random given uniform variable generator?
- Show that geometric Brownian motion leads to log normal.
- A survey claims that 70% of people like coffee, 80% of people like
tea, what is the upper and lower bound on the percentage of people like
both coffee and tea?
- On a highway, the probability of observing at least one car in 20min
is 609/625, what is the probability of observing at least one car in
5min?
- Derive the Black-Scholes differential equation.
- Random walk starts from 0. what is the probability of hitting -2
before hitting 3?
- Toss a dice. What is the expected number of tosses before getting two
consecutive 6's?
- Given a simple example of shell script that repeat certain task 10
times.
- What is a Brownian motion? What is the correlation of W(t1) and W(t2)?
- Algorithm to reverse the characters in a char array. Algorithm to
reverse the word order in a sentence with words seperated by white
space.
- 100 bulbs initially all off. First switch (on <-->off) the states of
1,2,...,100'th bulbs. The second time switch the states of
2,4,6,...,100'th bulbs. (the i'th time switch the states of i,2i,3i,...
bulbs). The last time switch the states of 100'th bulb. What bulbs are
on in the end?
- Asked about resume 100 times. Explained my research 100 times.
- Describe your thesis/research.
- Describe class hierarchy of any large computing system that I have
experience on.
- What is the "volatile" keyword?
- What is the "static" keyword?
- If one tosses a fair coin 5 times, what is the probability of not
getting 2 heads or 2 tails in a row?
- The ransom note problem. Design an algorithm that makes up the ransom
note from characters in a magazine.
- Introduce yourself
- What is a virtual function?
- Describe any sort algorithm
- How to derive Black-Scholes equation | b******n
发帖数: 637 | | i****k
发帖数: 39 | 3 thanks for sharing. Have you graduated?
【在 i**w 的大作中提到】
: 背景:fresh physics PhD
: 还没offer,但年前基本上不会再折腾了。
: 有重复。基本上都是很标准的题。
: 简单的题如果人家想问倒你也是很容易的。
: 面试书recruiter推荐
: 1) Mark Joshi: "Quant Job Interviews: Questions and Answers". I have
: heard very good things about this book.
: 2) Xinfeng Zhou, "A Practical Guide to Quantitative Finance Interviews"
: 个人觉得非常有用， 大部分问题都在这两本上。
: 算法，C++, stochastic calculus 就看比较标准的几本。
| t*******y
发帖数: 637 | 4 Toss a dice. What is the expected number of tosses before getting two
consecutive 6's?
这题答案是不是 42
Algorithm to reverse the word order in a sentence with words seperated by
white space.
这题要现场写程序吗？ | k*******d
发帖数: 1340 | 5 感谢楼主！
我算也是42
by
【在 t*******y 的大作中提到】
: Toss a dice. What is the expected number of tosses before getting two
: consecutive 6's?
: 这题答案是不是 42
: Algorithm to reverse the word order in a sentence with words seperated by
: white space.
: 这题要现场写程序吗？
| T*****w
发帖数: 802 | | s*****G
发帖数: 1535 | | s*****G
发帖数: 1535 | | w**********y
发帖数: 1691 | 9 多谢分享.大概做了做..欢迎补充和指正.
- sqrt(i)=?
e^{\pi/4 i} or - e^{\pi/4 i}
- You and me roll a dice,first one gets a six wins. You roll first. what
is the probability of you winning?
P(I win) = P(Y !win and I win) = 6/11
- A stair of n steps. Each time you step up 1 or 2 steps. How many
different ways are there to reach the top? what is the asymptotic limit?
Fibonacci sequence ..limF(n)/F(n-1)==x for n>2, solve x, and F(n) ~ x^{n-1}
- Moment generating function of standard model.
statistic book…
- Write a simple function to return Fibonacci number F(n). how to avoid
overflow?
不知道什么是overflow…
- Do you know any variance reduction technique?
What is control variate method? How and why it works?
Control variate: hatY = barY+ \rho(X-barX); Important Sampling; Glasserman’
s book
- What is the future contract? Under what situation is the future
contract priced higher than forward price?
Shreve’s Chapter 5?. Whether interest rate is deterministic or random
What is the effect of the recent quantitative easing of fed?
不知道怎么回答
- Explain one sorting algorithm. How does the merge sort work? What is
the running time for merge sort?
How does the quick sort works? What is the running time for the quick
sort?
In practice, how do to choose among these two algorithms
不确定.取决于你的数组的顺序.如果原来就比较有序,用quick?
- Given a Brownian motion starting from 0 and two barriers 'a' and '-b',
what is the probability of hitting barrier 'a'
before hitting barrier '-b'?
What if it is a process with drift?
b/(a+b)…construct exp(mW_t) to be a martingale
- given a set of y_i's and x_i's, what is the linear regression beta?
how to interpret in terms of (co)variance? what is the correlation
between x_i and the residuals?
beta=rho*S_y/S_x or cov(x,y)/cov(x,x)….correlation is 0
- what is the c++ sort function? explain the heap sort. why running time
is O(nlgn)? what is quick sort? why it is O(nlgn)
要去看看heap sort….
quick sort, average time os O(nlgn) divide-and-conquer
- A european call option with strike 40 expires in 1 year. The current
spot price is 50. what happens to the call price as the volatility goes
to infinity?
Goes to infty also.
- Given two buckets of volumes 5L and 3L, how to obtain water of 4L?
5 to 3, left 2; 2 to 3; 5 to (3-2), obtaining 4
- A stair with 10 levels. Each time you step up either 1 level or 2
levels. How many different ways are there to get to the top?
same as above.
- what is AR, GARCH? what is GARCH used for in practice?
For volatility prediction;
Could explain auto-correlation and clusters among volatility series
- what are the programming languages that you used? how confident are
you in programming?
- Describe one of the Monte Carlo simulations you have done.
- Given Brownian motion W, integrate WdW from 0 to T. how to interpret
(dW)^2 = dt? how to do the integral by definition? (Shreve's book)
(dW)^2 = dt?需要解释么?不需要么?需要么?dw~sqrt(dt)Z, then (dw)^2~dt*Z^2??
- What is beta given vector observations: Y and X? what is the
requirement on X to make it work? what if two observables in X are
highly correlated? what technique can be used to fix the problem?
Six assumptions of linear regression;
Ridge regression/variable selection/PCA/Bayesian
- what is semi-positive matrix? Prove covariance matrix is semi-
positive.
M is spd, iff a’Ma>=0 for any a.
var(a’X)=a’Var(X)a>=0 so Var(X) is spd.
- Fibonacci sequence. write a function that recursively calculate F(n).
what is the running time? what is the asymptotic limit of F(n)? How to
obtain simple lower and upper bound of F(n) when n is large.
zhou’s book
- Give an situation when you could have a memory leak.
forgot virtual destructor
- Randomly pick three points, what is the probability that they will be
on the same hemisphere?
3/2^{3-1}
- How to price European option using Monte Carlo? (Assuming stock price
follows geometric brownian motion) Is Monte Carlo applicable in pricing
American option?
No, you need to make intermediate decision.
How does the binomial tree pricing work for American option?
Backward. Make decision.
- Place cubes on a 10x10 grid. Place 1, 2 ,3 ..., 10 cubes in the first
line. 2,3,4,...,11 cubes in the second line. 3,4,5,...,12 cubes in the
third line. ... 10,11,12,...,19 cubes in the 10th line. what is the
total number of cubes(intuitively)?
怎么intuitively做?用人脑..
- X1, X2 are standard normal, with correlation rho. What is the variance
of X=X1+X2.
2+2rho
- X1 and X2 are independent random variable with pdf f and g. what is
the pdf of X=X1+X2? What is the relation between Fourier coefficient of
convolution of two functions and that of individual functions?
Jacobian matrix for X1+X2 and X1-X2..
Convolution theorem
- Explain the copy constructor.
- Given uniform(0,1), how to generate a random variable with pdf f ?
inverse F(x)
- Given an example of variance reduction technique.
again..
- What is the distribution of independent standard normals?
…
- Given two arrays, each with distinct integers, give an efficient
algorithm to find out the common elements.
Hash one or binary tree one.. then search
- How to draw normal random given uniform variable generator?
sqrt(-2lnU1)cos(2\pi U2)-box muller
Polar method
- Show that geometric Brownian motion leads to log normal.
…Ito
- A survey claims that 70% of people like coffee, 80% of people like
tea, what is the upper and lower bound on the percentage of people like
both coffee and tea?
lower:0.5 upper: 0.8
- On a highway, the probability of observing at least one car in 20min
is 609/625, what is the probability of observing at least one car in
5min?
1-(1-p)^4=609/625
- Derive the Black-Scholes differential equation.
- Random walk starts from 0. what is the probability of hitting -2
before hitting 3?
again…
- Toss a dice. What is the expected number of tosses before getting two
consecutive 6's?
42
- Given a simple example of shell script that repeat certain task 10
times.
完全不知所措
- 100 bulbs initially all off. First switch (on <-->off) the states of
1,2,...,100'th bulbs. The second time switch the states of
2,4,6,...,100'th bulbs. (the i'th time switch the states of i,2i,3i,...
bulbs). The last time switch the states of 100'th bulb. What bulbs are
on in the end?
10 1, 2^2.....10^2 | i**w
发帖数: 71 | 10
应该是。6*(6^2-1)/(6-1)=42或者markov chain
by
纸上写。language用你claim最熟的。
【在 t*******y 的大作中提到】
: Toss a dice. What is the expected number of tosses before getting two
: consecutive 6's?
: 这题答案是不是 42
: Algorithm to reverse the word order in a sentence with words seperated by
: white space.
: 这题要现场写程序吗？
| | | i**w
发帖数: 71 | 11
不谢。还有十几天就正式毕业了:)
【在 i****k 的大作中提到】
: thanks for sharing. Have you graduated?
| L******k
发帖数: 33825 | 12 congratulations!!!
【在 i**w 的大作中提到】
:
: 不谢。还有十几天就正式毕业了:)
| m*****a
发帖数: 636 | 13 过完年一定有好消息！
【在 i**w 的大作中提到】
: 背景:fresh physics PhD
: 还没offer,但年前基本上不会再折腾了。
: 有重复。基本上都是很标准的题。
: 简单的题如果人家想问倒你也是很容易的。
: 面试书recruiter推荐
: 1) Mark Joshi: "Quant Job Interviews: Questions and Answers". I have
: heard very good things about this book.
: 2) Xinfeng Zhou, "A Practical Guide to Quantitative Finance Interviews"
: 个人觉得非常有用， 大部分问题都在这两本上。
: 算法，C++, stochastic calculus 就看比较标准的几本。
| i**w
发帖数: 71 | 14 - future那道取决于interest rate 和(stock)price 的correlation.在麦当劳的
derivatives markets里有提到。(个人觉得这本比John Hull的书好，当然John Hull也看
了。讲的都是差不多的东西，所以不花多少时间。跟一个interviewer还聊起来哪本好
的话题。)
- 下面紧接着问量化宽松是这个的引申，刚好在当时十大里看到过有人闲扯。也就大概
说说对
interest rate 和stock price有什么影响，他们是正相关还是负相关。
- option price在volatility->inf的时候不会也无穷。option price有bound.
- overflow那个。当n很大的时候F_n超出(溢出)int limit怎么handle。(avoid有点不清
楚，是问怎么handle)
- 关于dw^2=dt，微分形式只是积分形式的另一种notation.做积分的时候就要求和。
sum(w(j+1) - w(j))^2当无穷细分时就趋向于t，而且本身的variance趋向于0。shreve
书上
有讲这个。
- cube那个把它想象成10x10x20的立方体然后沿对角面切一半。
- coffee和tea的lower bound他想要的应该是50%. 可能我没说清楚题目。
1>=P(C or T)= P(C)+P(T)-P(C and T) => P(C and T) >=70%+80%-1 = 50%
- shell script的题是因为我简历上有提到。
- light bulb那题和number of divisor有关。好像她只问了第100个灯泡的状态。然后
问in
general怎么判断任意一个灯泡的状态。
这些题目其实大都不难。大部分面试官都很nice, 但是偶尔还是会碰到interviewer
trying to
push you to the limit然后故意一直问为什么，为什么，为什么。我的经验是，正常
的看书准
备足够应付99%的面试。但也要be prepared for这样的人。(当然，这也是他们应该做
的，看看
你怎么应付这样的情况。)
还有简历要自己过无数遍。上面提到的一句话一个词都要能说出来一通。
面试都是纸老虎，大家一起加油!
what
limit?
x^{n-1}
【在 w**********y 的大作中提到】
: 多谢分享.大概做了做..欢迎补充和指正.
: - sqrt(i)=?
: e^{\pi/4 i} or - e^{\pi/4 i}
: - You and me roll a dice,first one gets a six wins. You roll first. what
: is the probability of you winning?
: P(I win) = P(Y !win and I win) = 6/11
: - A stair of n steps. Each time you step up 1 or 2 steps. How many
: different ways are there to reach the top? what is the asymptotic limit?
: Fibonacci sequence ..limF(n)/F(n-1)==x for n>2, solve x, and F(n) ~ x^{n-1}
: - Moment generating function of standard model.
| i**w
发帖数: 71 | 15
谢谢~~
【在 L******k 的大作中提到】
: congratulations!!!
| i**w
发帖数: 71 | 16 恩,谢谢。//希望年前就有好消息~
但是要放稳心态 :)
【在 m*****a 的大作中提到】
: 过完年一定有好消息！
| f*******y
发帖数: 988 | 17 我看最难的就是证明heapsort的复杂度了
奇难无比
x^{n-1}
【在 w**********y 的大作中提到】
: 多谢分享.大概做了做..欢迎补充和指正.
: - sqrt(i)=?
: e^{\pi/4 i} or - e^{\pi/4 i}
: - You and me roll a dice,first one gets a six wins. You roll first. what
: is the probability of you winning?
: P(I win) = P(Y !win and I win) = 6/11
: - A stair of n steps. Each time you step up 1 or 2 steps. How many
: different ways are there to reach the top? what is the asymptotic limit?
: Fibonacci sequence ..limF(n)/F(n-1)==x for n>2, solve x, and F(n) ~ x^{n-1}
: - Moment generating function of standard model.
| t*******y
发帖数: 637 | 18 第二题应该是6/11吧
能讲讲这个吗? - X1 and X2 are independent random variable with pdf f and g.
what is what is the pdf of X=X1+X2
Jacobian matrix for X1+X2 and X1-X2..
多谢分享.大概做了做..欢迎补充和指正.
- sqrt(i)=?
e^{\pi/4 i} or - e^{\pi/4 i}
- You and me roll a dice,first one gets a six wins. You roll first. what
is the probability of you winning?
P(I win) = P(Y !win and I win) = 5/6*1/6
- A stair of n steps. Each time you step up 1 or 2 steps. How many
different ways are there to reach the top? what is the asymptotic limit?
Fibonacci sequence ..limF(n)/F(n-1)==x for n>2, solve x, and F(n) ~ x^{n-1}
- Moment generating function of standard model.
statistic book…
- Write a simple function to return Fibonacci number F(n). how to avoid
overflow?
不知道什么是overflow…
- Do you know any variance reduction technique?
What is control variate method? How and why it works?
Control variate: hatY = barY+ \rho(X-barX); Important Sampling; Glasserman’
s book
- What is the future contract? Under what situation is the future
contract priced higher than forward price?
Shreve’s Chapter 5?. Whether interest rate is deterministic or random
What is the effect of the recent quantitative easing of fed?
不知道怎么回答
- Explain one sorting algorithm. How does the merge sort work? What is
the running time for merge sort?
How does the quick sort works? What is the running time for the quick
sort?
In practice, how do to choose among these two algorithms
不确定.取决于你的数组的顺序.如果原来就比较有序,用quick?
- Given a Brownian motion starting from 0 and two barriers 'a' and '-b',
what is the probability of hitting barrier 'a'
before hitting barrier '-b'?
What if it is a process with drift?
b/(a+b)…construct exp(mW_t) to be a martingale
- given a set of y_i's and x_i's, what is the linear regression beta?
how to interpret in terms of (co)variance? what is the correlation
between x_i and the residuals?
beta=rho*S_y/S_x or cov(x,y)/cov(x,x)….correlation is 0
- what is the c++ sort function? explain the heap sort. why running time
is O(nlgn)? what is quick sort? why it is O(nlgn)
要去看看heap sort….
quick sort, average time os O(nlgn) divide-and-conquer
- A european call option with strike 40 expires in 1 year. The current
spot price is 50. what happens to the call price as the volatility goes
to infinity?
Goes to infty also.
- Given two buckets of volumes 5L and 3L, how to obtain water of 4L?
5 to 3, left 2; 2 to 3; 5 to (3-2), obtaining 4
- A stair with 10 levels. Each time you step up either 1 level or 2
levels. How many different ways are there to get to the top?
same as above.
- what is AR, GARCH? what is GARCH used for in practice?
For volatility prediction;
Could explain auto-correlation and clusters among volatility series
- what are the programming languages that you used? how confident are
you in programming?
- Describe one of the Monte Carlo simulations you have done.
- Given Brownian motion W, integrate WdW from 0 to T. how to interpret
(dW)^2 = dt? how to do the integral by definition? (Shreve's book)
(dW)^2 = dt?需要解释么?不需要么?需要么?dw~sqrt(dt)Z, then (dw)^2~dt*Z^2??
- What is beta given vector observations: Y and X? what is the
requirement on X to make it work? what if two observables in X are
highly correlated? what technique can be used to fix the problem?
Six assumptions of linear regression;
Ridge regression/variable selection/PCA/Bayesian
- what is semi-positive matrix? Prove covariance matrix is semi-
positive.
M is spd, iff a’Ma>=0 for any a.
var(a’X)=a’Var(X)a>=0 so Var(X) is spd.
- Fibonacci sequence. write a function that recursively calculate F(n).
what is the running time? what is the asymptotic limit of F(n)? How to
obtain simple lower and upper bound of F(n) when n is large.
zhou’s book
- Give an situation when you could have a memory leak.
forgot virtual destructor
- Randomly pick three points, what is the probability that they will be
on the same hemisphere?
3/2^{3-1}
- How to price European option using Monte Carlo? (Assuming stock price
follows geometric brownian motion) Is Monte Carlo applicable in pricing
American option?
No, you need to make intermediate decision.
How does the binomial tree pricing work for American option?
Backward. Make decision.
- Place cubes on a 10x10 grid. Place 1, 2 ,3 ..., 10 cubes in the first
line. 2,3,4,...,11 cubes in the second line. 3,4,5,...,12 cubes in the
third line. ... 10,11,12,...,19 cubes in the 10th line. what is the
total number of cubes(intuitively)?
怎么intuitively做?用人脑..
- X1, X2 are standard normal, with correlation rho. What is the variance
of X=X1+X2.
2+2rho
- X1 and X2 are independent random variable with pdf f and g. what is
the pdf of X=X1+X2? What is the relation between Fourier coefficient of
convolution of two functions and that of individual functions?
Jacobian matrix for X1+X2 and X1-X2..
Convolution theorem
- Explain the copy constructor.
- Given uniform(0,1), how to generate a random variable with pdf f ?
inverse F(x)
- Given an example of variance reduction technique.
again..
- What is the distribution of independent standard normals?
…
- Given two arrays, each with distinct integers, give an efficient
algorithm to find out the common elements.
Hash one or binary tree one.. then search
- How to draw normal random given uniform variable generator?
sqrt(-2lnU1)cos(2\pi U2)-box muller
Polar method
- Show that geometric Brownian motion leads to log normal.
…Ito
- A survey claims that 70% of people like coffee, 80% of people like
tea, what is the upper and lower bound on the percentage of people like
both coffee and tea?
lower:0 upper: 0.8
- On a highway, the probability of observing at least one car in 20min
is 609/625, what is the probability of observing at least one car in
5min?
1-(1-p)^4=609/625
- Derive the Black-Scholes differential equation.
- Random walk starts from 0. what is the probability of hitting -2
before hitting 3?
again…
- Toss a dice. What is the expected number of tosses before getting two
consecutive 6's?
42
- Given a simple example of shell script that repeat certain task 10
times.
完全不知所措
- 100 bulbs initially all off. First switch (on <-->off) the states of
1,2,...,100'th bulbs. The second time switch the states of
2,4,6,...,100'th bulbs. (the i'th time switch the states of i,2i,3i,...
bulbs). The last time switch the states of 100'th bulb. What bulbs are
on in the end?
10 1, 2^2.....10^2
【在 w**********y 的大作中提到】
: 多谢分享.大概做了做..欢迎补充和指正.
: - sqrt(i)=?
: e^{\pi/4 i} or - e^{\pi/4 i}
: - You and me roll a dice,first one gets a six wins. You roll first. what
: is the probability of you winning?
: P(I win) = P(Y !win and I win) = 6/11
: - A stair of n steps. Each time you step up 1 or 2 steps. How many
: different ways are there to reach the top? what is the asymptotic limit?
: Fibonacci sequence ..limF(n)/F(n-1)==x for n>2, solve x, and F(n) ~ x^{n-1}
: - Moment generating function of standard model.
| f*******y
发帖数: 988 | 19 最简单的就是灯泡了
估计拿去考小学生，小学生只会这一道
也看
不清
【在 i**w 的大作中提到】
: - future那道取决于interest rate 和(stock)price 的correlation.在麦当劳的
: derivatives markets里有提到。(个人觉得这本比John Hull的书好，当然John Hull也看
: 了。讲的都是差不多的东西，所以不花多少时间。跟一个interviewer还聊起来哪本好
: 的话题。)
: - 下面紧接着问量化宽松是这个的引申，刚好在当时十大里看到过有人闲扯。也就大概
: 说说对
: interest rate 和stock price有什么影响，他们是正相关还是负相关。
: - option price在volatility->inf的时候不会也无穷。option price有bound.
: - overflow那个。当n很大的时候F_n超出(溢出)int limit怎么handle。(avoid有点不清
: 楚，是问怎么handle)
| w**********y
发帖数: 1691 | 20 大意了..错了..假设你赢的概率是p,那么
p=1/6+5/6(1-p) 所以p=6/11
这个看multivariate transformation of random variable
或者直接积分啊..
P(x1+x2
.
【在 t*******y 的大作中提到】
: 第二题应该是6/11吧
: 能讲讲这个吗? - X1 and X2 are independent random variable with pdf f and g.
: what is what is the pdf of X=X1+X2
: Jacobian matrix for X1+X2 and X1-X2..
:
: 多谢分享.大概做了做..欢迎补充和指正.
: - sqrt(i)=?
: e^{\pi/4 i} or - e^{\pi/4 i}
: - You and me roll a dice,first one gets a six wins. You roll first. what
: is the probability of you winning?
| | | k*******d
发帖数: 1340 | 21 是用Jacobian来算，算出来的结果其实就是两个pdf的convolution，所以后来又问了
Fourier
Transform的关系，相乘
g.
【在 t*******y 的大作中提到】
: 第二题应该是6/11吧
: 能讲讲这个吗? - X1 and X2 are independent random variable with pdf f and g.
: what is what is the pdf of X=X1+X2
: Jacobian matrix for X1+X2 and X1-X2..
:
: 多谢分享.大概做了做..欢迎补充和指正.
: - sqrt(i)=?
: e^{\pi/4 i} or - e^{\pi/4 i}
: - You and me roll a dice,first one gets a six wins. You roll first. what
: is the probability of you winning?
| w**********y
发帖数: 1691 | 22
恩.你说的对.GBM下,应该趋向于S-e^{-r\tau}K..大意了..
【在 i**w 的大作中提到】
: 恩,谢谢。//希望年前就有好消息~
: 但是要放稳心态 :)
| w******n
发帖数: 14 | 23 - A survey claims that 70% of people like coffee, 80% of people like
tea, what is the upper and lower bound on the percentage of people like
both coffee and tea?
lower:0.5 upper: 0.8
Why the upper bound is not 70%?
【在 i**w 的大作中提到】
: 背景:fresh physics PhD
: 还没offer,但年前基本上不会再折腾了。
: 有重复。基本上都是很标准的题。
: 简单的题如果人家想问倒你也是很容易的。
: 面试书recruiter推荐
: 1) Mark Joshi: "Quant Job Interviews: Questions and Answers". I have
: heard very good things about this book.
: 2) Xinfeng Zhou, "A Practical Guide to Quantitative Finance Interviews"
: 个人觉得非常有用， 大部分问题都在这两本上。
: 算法，C++, stochastic calculus 就看比较标准的几本。
| i**w
发帖数: 71 | 24
应该是70%.我只看到obviously lower bound =0不对 :)
【在 w******n 的大作中提到】
: - A survey claims that 70% of people like coffee, 80% of people like
: tea, what is the upper and lower bound on the percentage of people like
: both coffee and tea?
: lower:0.5 upper: 0.8
: Why the upper bound is not 70%?
| w*********m
发帖数: 196 | | w*********m
发帖数: 196 | 26 您这反语说的
有些题是简单，一直追问下去谁都得挂
问你一个估计你觉得巨简单的，你觉得股票是geometric brownian motion么，如果不
是怎么改进你的model？
【在 f*******y 的大作中提到】
: 我看最难的就是证明heapsort的复杂度了
: 奇难无比
:
: x^{n-1}
| f********r
发帖数: 408 | | f*******y
发帖数: 988 | 28 我没说反语， 难道你认为证heat sort的复杂度很容易么？
不涉及任何open end的东西，都是textbook上的
【在 w*********m 的大作中提到】
: 您这反语说的
: 有些题是简单，一直追问下去谁都得挂
: 问你一个估计你觉得巨简单的，你觉得股票是geometric brownian motion么，如果不
: 是怎么改进你的model？
| m*******r
发帖数: 98 | 29 It's quite basic if you took an algorithm class before
【在 f*******y 的大作中提到】
: 我没说反语， 难道你认为证heat sort的复杂度很容易么？
: 不涉及任何open end的东西，都是textbook上的
| i****k
发帖数: 39 | 30 cong.. which branch of physics?
【在 i**w 的大作中提到】
:
: 应该是70%.我只看到obviously lower bound =0不对 :)
| | | e*****u
发帖数: 337 | | Y******u
发帖数: 1912 | 32 If one tosses a fair coin 5 times, what is the probability of not
getting 2 heads or 2 tails in a row?
Anyone get the answer? I know how to do it with unlimited times using Makov
chain. But how to solve with limit tosses? | R******t
发帖数: 2648 | | w*********m
发帖数: 196 | 34 I think toss by 5 times, with no 2 heads or 2 tails in a row, there are
only two possible situation
HTHTH
THTHT
so 2/2^5=1/16
Makov
【在 Y******u 的大作中提到】
: If one tosses a fair coin 5 times, what is the probability of not
: getting 2 heads or 2 tails in a row?
: Anyone get the answer? I know how to do it with unlimited times using Makov
: chain. But how to solve with limit tosses?
| j****3
发帖数: 5 | 35 非常感谢！
【在 i**w 的大作中提到】
: 背景:fresh physics PhD
: 还没offer,但年前基本上不会再折腾了。
: 有重复。基本上都是很标准的题。
: 简单的题如果人家想问倒你也是很容易的。
: 面试书recruiter推荐
: 1) Mark Joshi: "Quant Job Interviews: Questions and Answers". I have
: heard very good things about this book.
: 2) Xinfeng Zhou, "A Practical Guide to Quantitative Finance Interviews"
: 个人觉得非常有用， 大部分问题都在这两本上。
: 算法，C++, stochastic calculus 就看比较标准的几本。
| R******t
发帖数: 2648 | 36 option price那个如果vol趋于无穷，call option价格等于当前股票价格 | h*****i
发帖数: 1017 | | S****h
发帖数: 558 | 38 Can anyone explain how to do this problem please? Thank you very much.
- Randomly pick three points, what is the probability that they will be on
the same hemisphere?
3/2^{3-1} | p********o
发帖数: 25 | 39 这道题写错了，hemisphere应该是semi-circle
如果是半球的话应该随机在球面上取4个点，在同一个半球上的概率是7/8，不过解答就
复杂多了。
【在 S****h 的大作中提到】
: Can anyone explain how to do this problem please? Thank you very much.
: - Randomly pick three points, what is the probability that they will be on
: the same hemisphere?
: 3/2^{3-1}
| p******e
发帖数: 756 | 40 能说说半球面的情况下，怎么得到7/8么？
thx
【在 p********o 的大作中提到】
: 这道题写错了，hemisphere应该是semi-circle
: 如果是半球的话应该随机在球面上取4个点，在同一个半球上的概率是7/8，不过解答就
: 复杂多了。
| | | p********o
发帖数: 25 | 41 可能说不太清楚。大概的意思是：先取好3个点ABC，从每个点过球心作直径，在球上得
到3个点A
如果第四个点和前三个不在一个半球上，那么必须在A'B'C'围成的那个球冠上。所以题
目变成，如果我们随机用一个平面切这个球，得到的球冠面积的期望。把这个平面到球
心的距离设作r，球冠面积可以用r表示，r本身的密度跟r^2成正比，就可以算出这个期
望是1/8。不过这个方法可能不大好推广。
【在 p******e 的大作中提到】
: 能说说半球面的情况下，怎么得到7/8么？
: thx
|
|
