Virtual Onsite interview experience
The VO had 3 rounds total, each about 30 minutes.
Round 1
Mainly resume questions + probability questions + a brainteaser.
The interviewer first asked some project-related questions based on my resume, then asked some probability questions. At the end there was a brainteaser: there's a dog running on a circle of radius 1, at speed 4. You're at some point inside the circle, at speed 1. Question: can you escape the circle? If so, how should you run?
Round 2
This round was mainly about estimating option Greeks.
The interviewer had you estimate the Greeks by mental math, without a calculator — things like:
- delta
- gamma
- vega
They also asked about tricks for quickly estimating Greeks without knowing the Gaussian CDF quantiles. This mainly tested:
- understanding of the Black-Scholes formula
- some approximation methods
- a sense of orders of magnitude
Round 3
This round mainly discussed the robustness of the Black-Scholes formula.
The question was roughly: if the real market volatility isn't constant, but you still use the constant-volatility Black-Scholes model to hedge, then:
- What does the PnL look like when hedging an option?
- Under what conditions do you make money or lose money?
- What's the relationship between PnL and realized volatility vs. implied volatility?
Basically this was discussing the PnL structure under delta hedging.
Discussion
Loading comments…