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Interview prep / Stochastic Calculus

Stochastic Calculus interview questions: page 2 of 2

Questions 51–55

  1. Checking whether B cubed has zero driftEasy
  2. Brownian motion and its role in financial modelsEasy
  3. What Ito's lemma says and why quants need itEasy
  4. Girsanov's theorem and switching to risk neutralityHard
  5. Kolmogorov forward and backward equations explainedHard