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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5581Vega Maturity Ranking 1Two European calls have the same spot, strike family, rate, dividend yield, and volatility 0.3. Assume both have approximately the same d1 = 0.1, but option A has maturity 1 and option B has maturity 0.5. Which option has the larger Black-Scholes vega?数理金融中等数值题未尝试面试订阅5582Vega Maturity Ranking 2Two European puts have the same spot, strike family, rate, dividend yield, and volatility 0.22. Assume both have approximately the same d1 = 0.05, but option A has maturity 0.25 and option B has maturity 1. Which option has the larger Black-Scholes vega?数理金融中等数值题未尝试面试订阅5583Vega Maturity Ranking 3Two European calls have the same spot, strike family, rate, dividend yield, and volatility 0.18. Assume both have approximately the same d1 = 0, but option A has maturity 0.5 and option B has maturity 1.5. Which option has the larger Black-Scholes vega?数理金融中等数值题未尝试面试订阅5584Vega Maturity Ranking 4Two European calls have the same spot, strike family, rate, dividend yield, and volatility 0.25. Assume both have approximately the same d1 = 0.25, but option A has maturity 0.75 and option B has maturity 0.25. Which option has the larger Black-Scholes vega?数理金融中等数值题未尝试面试订阅5585Vega Maturity Ranking 5Two European puts have the same spot, strike family, rate, dividend yield, and volatility 0.2. Assume both have approximately the same d1 = -0.05, but option A has maturity 1.25 and option B has maturity 0.5. Which option has the larger Black-Scholes vega?数理金融中等数值题未尝试面试订阅5586Why Gamma And Theta Trade OffWhy do long-gamma positions often come with negative theta in vanilla options?数理金融中等essay未尝试面试订阅5587Why Vega Peaks Near ATMWhy is Black-Scholes vega often largest around the money?数理金融中等essay未尝试面试订阅5588Why Put Delta Is NegativeWhy is the delta of a vanilla put negative under Black-Scholes?数理金融中等essay未尝试面试订阅5589Why Gamma Matters For RebalancingWhy does a high-gamma book require more frequent delta rebalancing?数理金融中等essay未尝试面试订阅5590Why Rho Usually Matters More For Long Rates Trades Than EquitiesWhy is rho often a more material Greek in rates options than in short-dated single-name equity options?数理金融中等essay未尝试面试订阅