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5333Missing Marginal VaR From Euler BreakdownA risk report shows total Euler portfolio VaR of 2.4. Desk A contributes 0.7 and Desk B contributes 0.9. Desk C has weight 0.5, and its component VaR is the residual needed to make the Euler contributions sum to total VaR. What marginal VaR must Desk C have?金融与交易困难数值题未尝试面试订阅5334Approximate VaR Change From RebalanceA portfolio manager plans two trades and uses a local Euler approximation for total VaR. She sells 0.30 of a crowded factor sleeve whose marginal VaR is 0.26 per unit weight, and buys 0.20 of a hedge sleeve whose marginal VaR is -0.10 per unit weight. What is the approximate change in total portfolio VaR from the rebalance?金融与交易困难数值题未尝试面试订阅5646Monte Carlo Standard Error 1A Monte Carlo run has sample mean terminal payoff 10.5 and sample standard deviation 4.2 from n=400 paths. With rate 0.03 and maturity 1, what are the time-0 price estimate, its standard error, and the approximate 95% confidence interval?数理金融中等数值题未尝试面试订阅5647Monte Carlo Standard Error 2A Monte Carlo run has sample mean terminal payoff 6.2 and sample standard deviation 2.8 from n=625 paths. With rate 0.04 and maturity 0.5, what are the time-0 price estimate, its standard error, and the approximate 95% confidence interval?数理金融中等数值题未尝试面试订阅5648Monte Carlo Standard Error 3A Monte Carlo run has sample mean terminal payoff 14 and sample standard deviation 7.5 from n=900 paths. With rate 0.02 and maturity 1.5, what are the time-0 price estimate, its standard error, and the approximate 95% confidence interval?数理金融中等数值题未尝试面试订阅5650Monte Carlo Standard Error 5A Monte Carlo run has sample mean terminal payoff 9.8 and sample standard deviation 5 from n=1024 paths. With rate 0.025 and maturity 1.25, what are the time-0 price estimate, its standard error, and the approximate 95% confidence interval?数理金融中等数值题未尝试面试订阅5656Required Path Count 1A pricing engine estimates that the discounted payoff standard deviation is about 6. How many Monte Carlo paths are needed to drive the standard error down to at most 0.15?数理金融中等数值题未尝试面试订阅5657Required Path Count 2A pricing engine estimates that the discounted payoff standard deviation is about 3.5. How many Monte Carlo paths are needed to drive the standard error down to at most 0.08?数理金融中等数值题未尝试面试订阅5943Variance of Completing a Four-Sticker SetStickers come in 4 equally likely types, independent across packs. Let T be the number of packs you open until you have collected all 4 types. Compute Var (T).概率困难数值题未尝试面试订阅5950Variance of the Coverage Count4 balls are thrown independently and uniformly into 6 boxes. Let D be the number of boxes that receive at least one ball. Compute Var (D).概率困难数值题未尝试面试订阅5996Variance of the Fourth Arrival TimePackets arrive at a sensor as a Poisson process with rate 2 per minute. Let T 4 be the time of the 4th packet. What is Var (T 4), in minutes squared?概率中等数值题未尝试免费