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5541Black-Scholes Call 1Under Black-Scholes with spot 100, strike 100, risk-free rate 0.03, dividend yield 0, volatility 0.2, and maturity 1, what is the European call price?数理金融中等数值题未尝试面试订阅5542Black-Scholes Call 2Under Black-Scholes with spot 95, strike 100, risk-free rate 0.04, dividend yield 0.01, volatility 0.25, and maturity 0.5, what is the European call price?数理金融中等数值题未尝试面试订阅5543Black-Scholes Call 3Under Black-Scholes with spot 120, strike 110, risk-free rate 0.02, dividend yield 0, volatility 0.18, and maturity 1.5, what is the European call price?数理金融中等数值题未尝试面试订阅5546Black-Scholes Put 1Under Black-Scholes with spot 100, strike 100, risk-free rate 0.03, dividend yield 0, volatility 0.2, and maturity 1, what is the European put price?数理金融中等数值题未尝试面试订阅5547Black-Scholes Put 2Under Black-Scholes with spot 95, strike 90, risk-free rate 0.04, dividend yield 0.02, volatility 0.22, and maturity 0.5, what is the European put price?数理金融中等数值题未尝试面试订阅5548Black-Scholes Put 3Under Black-Scholes with spot 120, strike 130, risk-free rate 0.02, dividend yield 0, volatility 0.18, and maturity 1.5, what is the European put price?数理金融中等数值题未尝试面试订阅5566Delta And Gamma 1For a European call with spot 100, strike 100, rate 0.03, dividend yield 0, volatility 0.2, and maturity 1, what are Black-Scholes delta and gamma?数理金融中等数值题未尝试面试订阅5567Delta And Gamma 2For a European put with spot 95, strike 100, rate 0.04, dividend yield 0.01, volatility 0.25, and maturity 0.5, what are Black-Scholes delta and gamma?数理金融中等数值题未尝试面试订阅5568Delta And Gamma 3For a European call with spot 120, strike 110, rate 0.02, dividend yield 0, volatility 0.18, and maturity 1.5, what are Black-Scholes delta and gamma?数理金融中等数值题未尝试面试订阅5570Delta And Gamma 5For a European call with spot 150, strike 140, rate 0.03, dividend yield 0.01, volatility 0.22, and maturity 1.25, what are Black-Scholes delta and gamma?数理金融中等数值题未尝试面试订阅5571Vega And Rho 1For a European call with spot 100, strike 100, rate 0.03, dividend yield 0, volatility 0.2, and maturity 1, what are Black-Scholes vega and rho?数理金融中等数值题未尝试面试订阅5572Vega And Rho 2For a European put with spot 95, strike 90, rate 0.04, dividend yield 0.02, volatility 0.22, and maturity 0.5, what are Black-Scholes vega and rho?数理金融中等数值题未尝试面试订阅5573Vega And Rho 3For a European call with spot 120, strike 130, rate 0.02, dividend yield 0, volatility 0.18, and maturity 1.5, what are Black-Scholes vega and rho?数理金融中等数值题未尝试面试订阅5576Delta Hedge Rebalance 1A desk is long 250 option contracts, each on 100 shares. The option delta moves from 0.42 to 0.48 after the market moves. How many shares should the desk hold before and after, and how many shares must it trade to rebalance to delta neutral?数理金融简单数值题未尝试面试订阅5577Delta Hedge Rebalance 2A desk is long 120 option contracts, each on 100 shares. The option delta moves from -0.31 to -0.22 after the market moves. How many shares should the desk hold before and after, and how many shares must it trade to rebalance to delta neutral?数理金融简单数值题未尝试面试订阅5591Implied Vol From Marketed Move 1A desk says the options market is pricing about a 4.8 point one-sigma move for a stock currently at 100 over the next 20 trading days. What annualized implied volatility does that correspond to?数理金融简单数值题未尝试面试订阅5594Implied Vol From Marketed Move 4A desk says the options market is pricing about a 6 point one-sigma move for a stock currently at 72 over the next 30 trading days. What annualized implied volatility does that correspond to?数理金融简单数值题未尝试面试订阅5596Realized Versus Implied Vol 1A short event window has daily returns [0.012, -0.008, 0.015, -0.004, 0.011]. Using realized volatility = sqrt(252 × average(r 2)), what annualized realized volatility do you get? If the options market had implied volatility 0.24, which side had the better volatility bet ex post?数理金融中等数值题未尝试面试订阅5597Realized Versus Implied Vol 2A short event window has daily returns [0.02, -0.014, 0.009, 0.006, -0.012]. Using realized volatility = sqrt(252 × average(r 2)), what annualized realized volatility do you get? If the options market had implied volatility 0.35, which side had the better volatility bet ex post?数理金融中等数值题未尝试面试订阅5601Event Straddle Outcome 1An at-the-money earnings straddle costs 6 when the stock is at 100. Ignore discounting and any post-event vol mark effects, and suppose the stock moves by 8.5 in absolute terms by expiry. What are the buyer and seller PnL per share, and who did better?数理金融中等数值题未尝试面试订阅