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Interview prep / Finance/Derivatives

Finance/Derivatives interview questions: page 5 of 6

Questions 201–250

  1. Implied volatility and the shape of the smileEasy
  2. Models for FX exotics that respect the smileHard
  3. How random volatility creates a smileMedium
  4. Pricing equation for a call on the squared assetMedium
  5. Forward rate for the second six monthsEasy
  6. Doubling time and the rule of 70Easy
  7. Valuing a vanilla interest rate swapEasy
  8. Why rate mean reversion matters for pricingMedium
  9. Converting yield volatility into price volatilityMedium
  10. Short-rate models versus market modelsMedium
  11. Monte Carlo for a 10-sigma digitalHard
  12. Turning the Black-Scholes PDE into the heat equationHard
  13. Variance-minimising hedge ratio between two stocksEasy
  14. Comparative statics of call and put pricesEasy
  15. Proving put-call parity with two portfoliosEasy
  16. Argument against exercising an American call earlyMedium
  17. Arbitrage between puts struck at 80 and 90Medium
  18. Stating and deriving the BSM equationMedium
  19. Assumptions of the BSM modelEasy
  20. Black-Scholes prices with a dividend yieldEasy
  21. Black-Scholes call via risk-neutral expectationHard
  22. Solving the Black-Scholes PDE via the heat equationHard
  23. Value of a one-dollar touch claim at a higher barrierHard
  24. Pricing a payoff of one over the terminal stock priceHard
  25. Call delta when the stock pays a continuous dividendMedium
  26. Delta of an at-the-money call and its limit at expiryMedium
  27. Delta hedging a long call after a sharp stock rallyEasy
  28. Quick approximation for an at-the-money call priceEasy
  29. Gamma of an at-the-money option near expiryMedium
  30. When a European option gains value with timeMedium
  31. Is a delta-hedged long call a free lunchMedium
  32. Implied volatility and what the smile revealsEasy
  33. Fixed versus random volatility with the same meanHard
  34. Extracting the risk-neutral density from call pricesHard
  35. Price limits for a call spreadEasy
  36. Long straddle payoff and when to buy itEasy
  37. Digital call pricing and the trouble with hedging itMedium
  38. Margrabe price for swapping one asset into anotherHard
  39. What value at risk measures and where it falls shortEasy
  40. Forwards versus futures under random interest ratesMedium
  41. Overview of common short-rate interest rate modelsMedium
  42. Pricing a European call by simulationEasy
  43. Ways to cut Monte Carlo varianceMedium
  44. Estimating delta and gamma without a formulaMedium
  45. How finite difference methods price derivativesMedium
  46. Explicit scheme for the heat equation and its stabilityHard
  47. Branches of maths a quant actually usesEasy
  48. Riskless profit and why it anchors pricingEasy
  49. The relation linking European call and put pricesEasy
  50. Quantifying risk with numbersEasy