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Interview prep / Finance/Derivatives

Finance/Derivatives interview questions: page 6 of 6

Questions 251–283

  1. Value at risk in practiceEasy
  2. Worst-case crash stress testingMedium
  3. Axioms that make a risk measure coherentMedium
  4. Mean-variance portfolio theory in briefEasy
  5. Beta and expected returns in the CAPMEasy
  6. Multi-factor pricing from no-arbitrageMedium
  7. Bet sizing to maximise long-run growthMedium
  8. Reasons traders and firms reduce exposureEasy
  9. Daily revaluation of derivative positionsEasy
  10. Can prices already reflect all informationEasy
  11. Ratios for judging investment performanceEasy
  12. Utility functions and decisions under uncertaintyMedium
  13. Why pricing as if investors were risk neutral worksMedium
  14. Option sensitivities and what each one tracksEasy
  15. The appeal of explicit pricing formulasEasy
  16. Picking trees, PDEs or simulation for a pricerMedium
  17. Simulation-based valuation in a nutshellEasy
  18. Grid methods for pricing equationsMedium
  19. Adding jumps to diffusion models of stocksMedium
  20. Perfect replication and when markets lack itMedium
  21. Four meanings of volatilityEasy
  22. Implied volatility varying with strikeEasy
  23. Rebalancing an option hedge over timeMedium
  24. Trading index versus single-stock volatilityHard
  25. Building discount factors from market instrumentsMedium
  26. Market model for forward interest ratesHard
  27. Price versus value of a derivative contractEasy
  28. Fitting model parameters to market pricesEasy
  29. Excess return per unit of riskMedium
  30. Equilibrium models versus fitting today's pricesMedium
  31. How much Black-Scholes survives broken assumptionsMedium
  32. Joining marginal distributions into a joint oneHard
  33. Optimal early exercise as a moving boundaryHard