You'll need to know math and statistics for electronic trading as well, as well as algorithm design and analysis.

I fail to see a reason why, in your situation, you shouldn't be applying for anything and everything available...

1) Get the list of FOMC meeting dates from the federal reserve website 2) learn some basic interest rate math, and how to replicate what the different interest rate futures (FF, ED) mean. 3) do the math (25bps hike at next meeting = what is the next eurodollar contract price?) 4) then go the other way...in order to get the current ED price, what does the next hike have to be (you will get some non-25bp number)? Then walk out the curve for every meeting. 5) do this individually for each set of instruments (FF, ED, OIS). They should agree with a very small deviation.

you should learn how to use solver in excel to make this easier (re-price the curve assuming flat rates inbetween fed meetings)...but first you need to do the math, one contract at a time, one meeting at a time, in an excel sheet. There is no reinvestment, so this is very basic interest rate math.

now when people refer to "what is the market pricing into this fed meeting" you will know what they are talking about.

2 is the most math-heavy desk you can find at a bank. That said, an undergrad can manage at the analyst level. All the heavy lifting is done by quants and is likely already set up.

Depends on whether you have 'safety' options elsewhere. If yes, then I'd try for exotics. I don't know a lot about eFICC but if it is what I think it is, it wouldn't be a bad choice either. If you're struggling (S&T hiring is quite rough I hear) then go for eFICC.

BTW you should do what ironnchef suggests anyways, it's quite basic but doing the math yourself (also some bootstrapping exercises) is key for interview prep.

Considering you've taken a graduate level derivatives course, worth applying to more vol trading jobs (rgdless rates/fx/eqty vol, exotic or not). Would suspect it's more likely for interviewer to ask general vol questions rather than nuanced questions pertaining to vol on a particular underlying (esp. if you shape expectations accordingly).

Standard metric for whether prepped for vol questions is prob still Heard on the Street by Tim Crack. If you can do a good proportion of the 50-60 derivatives questions, you're in reasonably good shape. By 'do' I mean you should have complete answers for the easy ones (basic Black-Scholes, Binomial trees, Greeks) and reasonable attempts at harder ones (deriving estimates of ATM option price, replicating options w/ boundary conditions). Solutions also cover a good deal of basic theory, e.g. risk neutral framework, B-S replication.

Once you've done this HW it's all about managing your interviewer's expectations. Overconfidence could hurt but you need be confident enough that the prep will actually cover a good number of questions asked and get you started on unfamiliar problems.

Then there's all that other prep for non vol related stuff that I can't comment much on since I've basically forgotten everything.