Previous salary and experience. Mastery of English Language Basic properties of Black-Scholes models and risk-neutral measures Bond pricing and convexity hedging Elementary probability models (cards, binomial distributions, gaussian limits of LLN) Programming: some pseudocode for some simple numerical interpolation routines
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Can you start tomorrow?
Explain your research (for 4 times).
Difference between static and class methods?
Lots of questions on model building and journals and existing literature.
tricky calculus questions, whiteboard code to do with trees.
What would you do to analyze the users' behavior on a new system. (Some strategy question, cannot reminder clearly.)
lots of probability and statistics.
Unfortunately, I signed a disclaimer saying I wouldn't discuss interview questions. The basic questions on Part A were not very hard, Part B was challenging for me under the time constraints.
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