Derivatives Trading BNP - Summmer Internship interview
Hello monkeys,
I have an a/c at BNP Paribas (london) for derivatives trading. What technical questions should I expect? How would one prepare for such an interview?
I mention that I am ok with options and how they are used...but what other, more difficult, questions might occur?
And also what is your opinion about derivatives trading at BNP? I know it's one of their best desks, but at an industry level, how are they doing compared with their peers? Who are their main competitors at this desk?
Thanks !!
Definitely be up to scratch on options and "funky" related maths concepts. Make sure you know the intuition behind the graphs, Greeks, pricing models etc. rather than just knowing them. Also, I was asked about barriers and exotic options to a large extent after mentioning that I "knew some stuff about option". If you haven't got it already get Timothy Crack's book and do as many of the brain teasers as you can!
Also, basic stoch. Calculus might be asked (unless you tell them you've never done it), plus lots of brain teasers, payoff graphs, intuition behind hedging, comparing two options (and thus their prices)....
I haven't had experience with BNP, but I have with other BBs in London. I also wouldn't underestimate being able to just talk casually and about current events, I.e. acting as a nice person rather than a calculating machine.
Good luck!
Here are some really basic ones just off the top of my head to get you started:
What are the Greeks? How do we hedge delta? How do we hedge gamma? How does gamma of an ATM option behave as expiry approaches? Why does it behave as such? What happens to the delta of an ITM call as volatility increases? What about for an OTM call? Explain put-call parity. What is a risk reversal? What is pin risk? Why do volatility smiles exist? Is there a difference in their shapes between different markets (e.g. equities versus FX)?
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