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Barclay Capital Quant Analytics Interview Questions
Posted by Derek Jing
on
4:09 PM
in
Interview
- How to hedge a digital option.
- What are the differences between future and forward, which of these will
have credit or interest risk.
- Three IID r.v ~uniform(0,1) distribution, what is prob of x1+x2>x3. You
need to get the result very quickly.
- What is pair trading, how to find two pairs.
- What is virtual function. What is pure virtual function. Why we need
abstract class?
- Difference between declare and definition? Can we declare abstract class ?
- Monte Carlo method, methods for variance reduction? How to choose best
parameter for control variate. How to simulate the deep out the money option( Importance sampling)
- What is CDS and IRS. How to price.
