Hello,
I am currently applying for summer internship positions in Wall Street, NYC. My situation is in some way unique: I am not American, in US on F-1 (student) Visa while on PhD Program in Industrial Engineering with concentration in Quantitative Finance. I got my previous University degree in Moscow State Univ in Math, Probability Theory. Have a 3-year experience of work in no.1 bank in Russia as an Internal Auditor.
The good things are that I have good mathematical intuition, so I'm not scared about brainbusters. I have also done a good research in my PhD, which includes the first practical test and application of one cool brand-new pricing theory. During my PhD I also did a number of case studies on stochastic optimization in Finance, so I have some experience in solving real-life practical problems. I got good experience in MATLAB, and some very basic experience in C++ with CPLEX optimization package.
The bad things are that most of my case studied I did applying solvers, developed by a small firm, owned by my scientific adviser. Almost nobody even knows about it. For this reason, I do not have any experience in SAS, or other popular software, except for MATLAB and CPLEX. Also, despite my Math education was super strong, I already forgot most of the hardcore stuff I learned in MSU. It's not that hard for me to recall some parts of it, if I know what exactly is required. Also, I have never ever been inside any investment bank or hedge fund, in the sense that I do not how scientifically complicated work there is.
My questions are the following: 1) What are my chances to provide a good image of myself on the interviews? 2) What areas of Math should I remember by the interview? What is generally used there? Differential equations? Stochastic differential equations? Statistics? How deep should my knowledge of these subjects be? 3) How critical are such skills as C++, Java, SAS? Experience in what other software can interviewers expect a successful candidate to have?
Any information will be helpful. Thank you in advance.
