I was asked to solve simple ODEs.
Junior Quantitative Analyst Interview Questions
8,218 junior quantitative analyst interview questions shared by candidates
Make a program in Matlab to read and plot an historical price. Simulation a historial price, and value a Call, IRS with and withour a Credit Spread.
What did you do in your research
Q: Flip a coin until you get two consecutive heads. Find the expectation of number of trials.
Linear algebra, differential equations, simple coding
Very basic Python questions. I was also asked why I want to join M&G, etc.
Le prix spot du gaz est S₀ = 35 €/MWh. Le taux sans risque est r = 4% (capitalisation continue). Le gaz procure un convenience yield de y = 1,5% (continu). Le coût de stockage pour 1 an est U = 1,20 €/MWh, payé aujourd’hui. Calcule le prix forward théorique à 1 an.
Ito's Lemma and quadratic variation.
cover a broad scope of topics
Explain what's the rank of a matrix and it's function
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