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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

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Comments (8)

  • blastoise's picture

    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).

  • blastoise's picture

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

  • In reply to blastoise
    Blax0r's picture

    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 blastoise
    YongQiu's picture

    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
    eurokopek's picture

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

    you're easy to troll.
  • YongQiu's picture

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  • redrut's picture

    1percentblog.com