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Interview prep / Finance/Derivatives

Finance/Derivatives interview questions: page 3 of 6

Questions 101–150

  1. Doubling a call's maturity from 100 to 200 daysEasy
  2. Pick the call price from the terminal spreadEasy
  3. One day of higher vol traded for extra maturityHard
  4. How far must spot move for a straddle to pay offEasy
  5. Eurodollar futures and FRA quoted at the same rateHard
  6. Monte Carlo pricing: which process to simulateEasy
  7. Convexity preference for mortgage bonds in a rallyEasy
  8. Black-Scholes value of a call on a stock powerHard
  9. Reasons implied vol curves across strikesMedium
  10. Two-sided knock-out against two one-sided barriersMedium
  11. Calculus route to digital option pricesMedium
  12. Binary payout on gold under normal dynamicsMedium
  13. Value of an American put that never expiresHard
  14. Simplifying a LIBOR versus 24% minus twice LIBOR swapMedium
  15. Share count for delta-hedging an ATM optionEasy
  16. Does mean reversion in the stock change option pricesMedium
  17. Situations where an options hedge raises riskMedium
  18. Offsetting a sold put without short stockMedium
  19. Scaling a pizza from six diners to eightEasy
  20. Market view that suits writing a putEasy
  21. Forward prices for an idle field and a rented beachEasy
  22. Turning thirty daily prices into an annual volEasy
  23. Discounting a strong issuer's par bond on swapsMedium
  24. Plain-language case for risk-neutral discountingMedium
  25. Implied or historical vol as a forecastEasy
  26. Comparing equally out-of-the-money calls and putsMedium
  27. Why time decay and convexity usually opposeMedium
  28. Pricing a call on a 130-or-70 one-year treeEasy
  29. Call on the product of two correlated stocksHard
  30. Average-price options versus plain European optionsEasy
  31. Conditions for ignoring early exerciseMedium
  32. Node counts in recombining and exploding treesEasy
  33. Expected value of a call one day from nowHard
  34. Time decay versus a call's positive driftHard
  35. Scaling a 10% annual vol to a four-year horizonEasy
  36. Implied forward rate between years five and tenEasy
  37. Yield to maturity contrasted with realised returnEasy
  38. Can chaotic dynamics predict stock returnsMedium
  39. Shape of the bond price versus yield curveEasy
  40. Implied rate for year two from spot ratesEasy
  41. Is a bond forward above or below the bond's spotMedium
  42. Trade to profit from a steepening yield curveEasy
  43. Duration and convexity explainedEasy
  44. Halving a long position in a 30-year bondEasy
  45. Brady bond price when only US yields riseHard
  46. Flattener using a corporate zero and TreasuriesHard
  47. Why the 5-to-10-year forward beats 20 percentMedium
  48. Trading volume after an inside information warningMedium
  49. Minimum-variance weights for two stocksEasy
  50. Minimum-variance split when variances are 10 and 40 percentEasy