If you have an option that pays you 5 dollar when the stock price hit $10. The stock price is currently $5. What is the price of the option?
Model Validation Quantitative Analyst Interview Questions
11 model validation quantitative analyst interview questions shared by candidates
What id the implied volatility? Why do we observe volatility smile?
Say you can draw numbers from a uniform distribution, how can you use this to approximate pi?
How to test model performance? How would you decide what model to use?
Stochastic Calculus and pricing derivatives.
Describe internal compliance procedures in your current company.
Why UBS? Why this position?
First round for a phone interview with statistics and finance staff. Second round on a written test with 9-10 questions on options and bonds, like a programming project. Third round, which is the final round, for a spec interview. An inside paper was sent 1 hour before the presentation and then asking questions related to the paper.
normal distribution, log-normal distribution, how do you compute mean of log-normal distribution in terms of the mean and variance of the underlying normal distribution, Brownian motion, Ito's Lemma, Black-Scholes formula, what are the differences between forwards and futures, what is the swap, how do you price the swap, how do you output correlated random variables with a prescribed coefficient of correlation
Why are you interested in modeling.
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