Barbie Phonics

Designed to get you a job in quantitative finance, this book contains over 225 interview questions taken from actual interviews in the City and Wall Street. Each question comes with a full detailed solution, discussion of what the interviewer is seeking and possible follow-up questions. Topics covered include option pricing, probability, mathematics, numerical algorithms and C++, as well as a discussion of the interview process and the non-technical interview. Mark Joshi wrote the popular introductory textbooks "the Concepts and Practice of Mathematical Finance" and "C++ Design Patterns and Derivatives Pricing." He also worked as a senior quant in industry for many years and has plenty of interview experience from both sides of the desk. Front Cover......Page 1 Back Cover......Page 2 Contents......Page 5 How to use this book......Page 9 Structure......Page 10 The publication of this book......Page 11 1.2 Getting an interview......Page 13 1.3 The standard interview......Page 15 1.4 The phone interview......Page 17 1.6 The exam......Page 18 1.7 Follow-up......Page 19 1.8 Dos and don'ts......Page 20 1.9 When to apply?......Page 21 1.10 The different roles......Page 22 1.11 Sorts of employers......Page 24 1.12 Where people go wrong......Page 25 2.1 Introduction......Page 27 2.2.1 Black-Scholes......Page 28 2.2.2 Option price properties......Page 29 2.2.3 Hedging and replication......Page 31 2.2.4 The Greeks......Page 32 2.2.6 Trees and Monte Carlo......Page 33 2.3.1 Black-Scholes......Page 34 2.3.2 Option price properties......Page 45 2.3.3 Hedging and replication......Page 63 2.3.4 The Greeks......Page 70 2.3.5 General......Page 74 2.3.6 Trees and Monte Carlo......Page 77 2.3.7 Incomplete markets......Page 84 3.1 Introduction......Page 91 3.2.1 General......Page 92 3.2.2 Stochastic processes......Page 96 3.3.1 General......Page 97 3.3.2 Stochastic processes......Page 136 4.1 Introduction......Page 159 4.3 Solutions......Page 160 5.2 Questions......Page 169 5.3 Solutions......Page 171 6.2.1 General......Page 201 6.2.2 Integration and differentiation......Page 203 6.3.1 General......Page 204 6.3.2 Integration and differentiation......Page 222 7.1 Introduction......Page 235 7.2 Questions......Page 238 7.3 Solutions......Page 245 8.1 Introduction......Page 287 8.2 Questions......Page 288 8.3 Solutions......Page 291 9.2 Soft questions and answers......Page 309 9.3 Finance data questions......Page 315 10.2 Questions......Page 317 Bibliography......Page 319 Index......Page 321