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Quantitative Research Intern Interview Questions

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4,831 quantitative research intern interview questions shared by candidates

1) 100 ants are uniformly placed on a [0,1] line, and they randomly travel toward either 0 or 1. When one collides with the other, they exchange directions. Assuming that each ant travels at the speed of 1 per hour, how long would it take for the last ant to reach the either end? 2) What is E(exp(Wt)), E((Wt)^4),... where Wt is a standard Brownian? 3) What is a martingale? Is E(Wt^2-t) a martingale? why? 4) How would you simulate a covariance matrix of 1,000 stocks where each pair has nonzero correlation? 5) Write down a black-scholes equations. What is delta, and how does it change when it approaches the maturity?
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Quantitative Research Associate

Interviewed at JPMorganChase

3.9★
Mar 9, 2017

1) 100 ants are uniformly placed on a [0,1] line, and they randomly travel toward either 0 or 1. When one collides with the other, they exchange directions. Assuming that each ant travels at the speed of 1 per hour, how long would it take for the last ant to reach the either end? 2) What is E(exp(Wt)), E((Wt)^4),... where Wt is a standard Brownian? 3) What is a martingale? Is E(Wt^2-t) a martingale? why? 4) How would you simulate a covariance matrix of 1,000 stocks where each pair has nonzero correlation? 5) Write down a black-scholes equations. What is delta, and how does it change when it approaches the maturity?

In London, temperature is now at x degrees Celsius. Imagine someone wants to buy an option from you. The payoff of the option is the difference in temperature between today and in exactly 1 year. How would you price this option? Example: Temperature today: 7°C, temperature at the same day in one year 8°C. Payoff: 1 USD
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Associate - Quantitative Research

Interviewed at J.P. Morgan

3.9★
Jan 18, 2015

In London, temperature is now at x degrees Celsius. Imagine someone wants to buy an option from you. The payoff of the option is the difference in temperature between today and in exactly 1 year. How would you price this option? Example: Temperature today: 7°C, temperature at the same day in one year 8°C. Payoff: 1 USD

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