11/20/12

Hi,

I have passed Optiver's three numerical tests, and scheduled to have a phone interview next week. I have no confidence in the interview since I have failed so many. Any guys can tell me what exactly questions they will ask?

Thanks

Comments (8)

11/20/12

Let X be a put option on a collar spread such that there exists and K in R satisfying the PDE Y_k' + Y_k'' = f_k(t,x) where f_n(t,x) is an alpha volatility spread.

What price would you pay for X given the gamma is retracting at a rate proportional to the PDE(that is a put option 2 minutes towards expiration and the markets are open).

http://www.jasonbondpicks.com
11/20/12

Also, you won't get any pen or paper GL, I suggest memorizing Taylor series in your head.

In reply to blastoise
11/20/12
blastoise:

Let X be a put option on a collar spread such that there exists and K in R satisfying the PDE Y_k' + Y_k'' = f_k(t,x) where f_n(t,x) is an alpha volatility spread.

What price would you pay for X given the gamma is retracting at a rate proportional to the PDE(that is a put option 2 minutes towards expiration and the markets are open).

Not a fan of these types of threads?

In reply to Blax0r
11/20/12

It is a second round interview, not the final round, will it be so technical?

In reply to blastoise
11/20/12
blastoise:

Let X be a put option on a collar spread such that there exists and K in R satisfying the PDE Y_k' + Y_k'' = f_k(t,x) where f_n(t,x) is an alpha volatility spread.

What price would you pay for X given the gamma is retracting at a rate proportional to the PDE(that is a put option 2 minutes towards expiration and the markets are open).

It is a second round interview, not the final round, will it be so technical?

In reply to YongQiu
11/20/12

It is a second round interview, not the final round, will it be so technical?

you're easy to troll.

11/21/12
11/21/12

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