Interview for exotic products

robes:

Ito's lemma, black scholes, stochastic processes etc

Yes, this is what you can expect. But it is not just giving the formulas, it is also how to use them. For sure you will get questions about barrier options such as how to replicate a barrier with vanilla options (static replication), how to hedge a barrier when the stock is near the barrier (very high gamma).

Also basic questions about greeks such as how is your vega when you are deep ITM when you are long a digital option, what is you gamma if you know you're delta and you are delta-hedged, how do you buy correlation, how do you price a multi-asset option.

Finally, sometimes you can get questions about numerical methods...

Good luck