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2226Recover the Market CDS Spread From an Existing Position 6A protection buyer holds an existing CDS with contractual spread 0.01 and risky annuity RPV01 = 4.2. The buyer's mark-to-market is 0.0252 per unit notional under the linear approximation MTM ≈ (s mkt - c)*RPV01. What market spread s mkt is implied?数理金融简单数值题未尝试免费2227Recover the Market CDS Spread From an Existing Position 7A protection seller holds an existing CDS with contractual spread 0.015 and risky annuity RPV01 = 5. The seller's mark-to-market is 0.02 per unit notional under the linear approximation MTM ≈ (c - s mkt)*RPV01. What market spread s mkt is implied?数理金融简单数值题未尝试免费2229Recover the Market CDS Spread From an Existing Position 9A protection buyer holds an existing CDS with contractual spread 0.012 and risky annuity RPV01 = 2. The buyer's mark-to-market is -0.004 per unit notional under the linear approximation MTM ≈ (s mkt - c)*RPV01. What market spread s mkt is implied?数理金融简单数值题未尝试免费2239CDS Product Intuition 19Why can short-dated CDS have a small RPV01 even when the spread itself is wide?数理金融中等essay未尝试面试订阅2296Jump Compensator Recovery 1A desk uses the simplified risk-neutral drift relation mu Q = r - lambda*kappa for a jump-diffusion. If r = 3.00%, lambda = 1.2, and mu Q = 0.60%, what jump compensator kappa is implied?数理金融简单数值题未尝试免费2297Jump Compensator Recovery 2In a simplified jump-diffusion, mu Q = r - lambda*kappa. If r = 2.50%, kappa = 1.60%, and mu Q = 0.50%, what jump intensity lambda is implied?数理金融简单数值题未尝试免费2298Jump Compensator Recovery 3A risk-neutral jump-diffusion uses mu Q = r - lambda*kappa. If r = 4.00%, lambda = 0.8, and kappa = 1.00%, what is mu Q?数理金融简单数值题未尝试免费2299Jump Compensator Recovery 4A desk writes the compensated jump-diffusion drift as mu Q = r - lambda*kappa. If mu Q = 0.60%, lambda = 1.5, and kappa = -0.40%, what risk-free rate r is consistent with that setup?数理金融简单数值题未尝试免费2300Jump Compensator Recovery 5A desk uses the simplified risk-neutral drift relation mu Q = r - lambda*kappa for a jump-diffusion. If r = 1.50%, lambda = 2, and mu Q = -0.30%, what jump compensator kappa is implied?数理金融简单数值题未尝试免费2301Poisson Jump Calibration 1In a jump-diffusion with Poisson intensity lambda, the probability of zero jumps over horizon T is exp(-lambda*T). If the no-jump probability over T = 1 years is 0.36, what lambda is implied?数理金融简单数值题未尝试免费2302Poisson Jump Calibration 2The probability of at least one jump over horizon T in a Poisson jump model is 1-exp(-lambda*T). If that probability is 0.451188 over T = 1.5 years, what lambda is implied?数理金融简单数值题未尝试免费2303Poisson Jump Calibration 3A jump-diffusion has Poisson intensity lambda = 1.1. Over what horizon T would the no-jump probability equal 0.57695?数理金融简单数值题未尝试免费2304Poisson Jump Calibration 4In a Poisson jump model, the expected number of jumps over horizon T is lambda*T. If lambda = 1.8 and T = 0.75 years, what is the expected jump count?数理金融简单数值题未尝试免费2305Poisson Jump Calibration 5A desk estimates that the expected number of jumps over the next 0.5 years is 0.6. Under a Poisson jump model with expected count lambda*T, what intensity lambda is implied?数理金融简单数值题未尝试免费2306Jump Variance Decomposition 1A simplified jump-diffusion desk decomposition writes total log-return variance over horizon T as sigma 2*T + lambda*T*delta 2. If sigma = 0.2, T = 1, lambda = 0.8, and total variance is 0.0884, what jump-size dispersion delta is implied?数理金融中等数值题未尝试面试订阅2307Jump Variance Decomposition 2Using total variance = sigma 2*T + lambda*T*delta 2, suppose sigma = 0.18, T = 0.5, delta = 0.12, and total variance is 0.027. What jump intensity lambda is implied?数理金融中等数值题未尝试面试订阅2308Jump Variance Decomposition 3A simplified jump-diffusion uses total variance = sigma 2*T + lambda*T*delta 2. If lambda = 1.2, T = 1, delta = 0.08, and total variance is 0.0624, what diffusion volatility sigma is implied?数理金融中等数值题未尝试面试订阅2310Jump Variance Decomposition 5Suppose total log-return variance over horizon T is modeled as sigma 2*T + lambda*T*delta 2. If sigma = 0.22, lambda = 1.1, delta = 0.09, and total variance is 0.03883, what horizon T is implied?数理金融中等数值题未尝试面试订阅2311Jump-Risk Trading Intuition 1Why do negative jumps create downside skew even when the diffusion part is symmetric?数理金融中等essay未尝试面试订阅2312Jump-Risk Trading Intuition 2Why can a Black-Scholes delta hedge look fine most days and still fail violently under jump risk?数理金融中等essay未尝试面试订阅