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4736Surface Arbitrage First Step 21Before repairing a quote, what should you identify first about the violation?数理金融中等essay未尝试面试订阅4737Surface Arbitrage First Step 22Before calling a quote 'wrong,' what data-quality question should you ask first?数理金融中等essay未尝试面试订阅4738Surface Arbitrage First Step 23Before using convexity across strikes, what structural condition should you check first about strike spacing?数理金融中等essay未尝试面试订阅4739Surface Arbitrage First Step 24Before overreacting to a tiny violation, what scale comparison should you make first?数理金融中等essay未尝试面试订阅4740Surface Arbitrage First Step 25Before interpreting a cleaned surface economically, what should you remember first about the repair process?数理金融中等essay未尝试面试订阅4741Sticky-Strike Versus Sticky-Moneyness 1Suppose the smile is parameterized in log-moneyness by sigma(k)= 0.2 + -0.12 k, with fixed strike K=110. Spot moves from 100 to 110. What implied volatility would the strike have under sticky-strike and under sticky-moneyness?数理金融中等数值题未尝试面试订阅4746Fixed-Strike Vol Shift 1With sigma(k)= 0.24 + -0.2 k in log-moneyness and fixed strike K=105, spot moves from 100 to 95. Under a sticky-moneyness convention, by how much does the fixed-strike implied volatility change?数理金融中等数值题未尝试面试订阅4751Why conventions matterWhy is saying 'the smile moved' incomplete unless you also say under which smile-dynamics convention you are describing it?数理金融中等essay未尝试面试订阅4752Why local vol criticism shows up hereWhy do practitioners often bring up local vol when discussing smile dynamics after spot moves?数理金融中等essay未尝试面试订阅4753Sticky delta intuitionWhat is the key intuition behind a sticky-delta style market description?数理金融中等essay未尝试面试订阅4754Forward smile mattersWhy can two models fit today's smile similarly well and still disagree strongly on forward smile behavior?数理金融中等essay未尝试面试订阅4755First thing to askBefore arguing about the 'right' smile-dynamics convention, what should you ask first?数理金融中等essay未尝试面试订阅4756Bigger spot rallyIf the smile has negative slope in log-moneyness, what happens to the fixed-strike implied vol shift under sticky-moneyness when the spot rally becomes larger?数理金融中等essay未尝试面试订阅4757Bigger selloffWith a typical downside skew, what happens to fixed-strike implied vol under sticky-moneyness after a larger selloff?数理金融中等essay未尝试面试订阅4758Flatter smileIf the smile becomes flatter in log-moneyness, what happens to the difference between sticky-strike and sticky-moneyness for small spot moves?数理金融中等essay未尝试面试订阅4759Longer horizon dynamicsWhy can smile-dynamics convention differences matter more over longer horizons than over intraday moves?数理金融中等essay未尝试面试订阅4760More negative skewIf downside skew gets steeper, what usually happens to the sensitivity of fixed-strike vol to spot moves under sticky-moneyness?数理金融中等essay未尝试面试订阅4766Infer Long-Run Mean From a Vasicek Forecast 1A rates desk uses the Vasicek expectation formula E[r t] = theta + (r0-theta)e (-kappa t). It has r0=0.02, kappa=0.6931, and horizon t=1. The model forecast for E[r t] is 0.03. What long-run mean theta is implied?数理金融简单数值题未尝试面试订阅4771Infer Current Short Rate From an Affine Bond Quote 6In an affine short-rate model, a zero-coupon bond is priced as P(0,T)=A(T)exp(-B(T)r0). For one maturity bucket the model exports A(T)=0.97, B(T)=2.5, and the bond quote is P(0,T)=0.899911. What current short rate r0 is implied?数理金融中等数值题未尝试面试订阅4773Infer Current Short Rate From an Affine Bond Quote 8In an affine short-rate model, a zero-coupon bond is priced as P(0,T)=A(T)exp(-B(T)r0). For one maturity bucket the model exports A(T)=0.94, B(T)=3, and the bond quote is P(0,T)=0.872079. What current short rate r0 is implied?数理金融中等数值题未尝试面试订阅