Probability and Stochastic Calculus Quant Interview Questions is the second book in the Pocket Book Guides for Quant Interviews Series, after the best-selling 150 Most Frequently Asked Questions on Quant Interviews. The 150 questions included in this book contain multiple fundamental ideas underlying probability and stochastic calculus questions frequently asked in interviews for quant roles, both for buy-side and sell-side roles. The answers to all of these questions are included in the book.
The first 10 questions selection, with solutions, can be downloaded here.
Topics:
- Discrete Probability
- Random Walks and Martingales
- Continuous Probability
- Brownian Motion
- Stochastic Differential Equations
Book Price: $36.50
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All the books purchased from FE Press are signed and personalized by the authors.
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About the Authors
The authors have over 30 years of experience working with the students of the Baruch College Financial Engineering Masters Program who have consistently been successful interviewing for quant type positions in the New York job market, with over 90% placement every year, including through the challenging 2008-2009 years.
Ivan Matic has been on the faculty of the Baruch MFE Program since 2013, teaching pre-program and graduate courses in probability, stochastic calculus, and interest rate models. His research areas include probability, partial differential equations, finance, and computer science. He has a Ph.D. in mathematics from UC Berkeley and taught previously at Duke University.
Rados Radoicic has been on the faculty of the Baruch MFE Program since 2006, teaching graduate courses on financial instruments, econometrics, and statistics, as well as pre-program courses on advanced calculus with financial applications. He has done extensive research in volatility and rough volatility modeling, discrete and computational geometry, extremal combinatorics, and graph theory. He has a BS and a PhD in mathematics from the Massachusetts Institute of Technology.
Dan Stefanica has been the Director of the Baruch MFE Program since its inception in 2002, and is the author of the best-selling A Primer For The Mathematics Of Financial Engineering, now in its second edition. He teaches graduate courses on numerical methods for financial engineering, as well as pre-program courses on advanced calculus and numerical linear algebra with financial applications. His research spans numerical analysis, graph theory, and geophysical fluid dynamics. He has a PhD in mathematics from New York University and taught previously at the Massachusetts Institute of Technology.
Book Details:
- Softcover: 334 pages
- Publisher: Financial Engineering Press
- ISBN: 978-1-7345312-2-0
Titles from FE Press:
A Linear Algebra Primer for Financial Engineering, by Dan Stefanica, FE Press 2014. This book covers linear algebra concepts for financial engineering applications from a numerical point of view. The book contains many such applications, as well as pseudocodes, numerical examples, and questions often asked in interviews for quantitative positions. Table of Contents. This is the third book in the Financial Engineering Advanced Background Series.
150 Most Frequently Asked Questions on Quant Interviews, by Dan Stefanica, Rados Radoicic, and Tai-Ho Wang. FE Press, 2013. This book contains over 150 questions that are frequently, and also currently, asked on interviews for quantitative positions, covering a vast spectrum, from C++ and data structures, to finance, stochastic calculus and brainteasers. A ten questions selection, with solutions, can be downloaded here. This is the first book in the Pocket Book Guides for Quant Interviews Series.
“A Primer for the Mathematics of Financial Engineering”, Second Edition, by Dan Stefanica. FE Press, 2011. This book builds the solid mathematical foundation required to understand the quantitative models used financial engineering and can be used as a reference book or as a self-study book. It contains 175 exercises, many of these being frequently asked interview questions. A Solutions Manual including detailed solutions to every exercise was published concurrently. The Second Edition of A Primer for the Mathematics of Financial Engineering was the Number 1 QuantNet bestselling book of 2013. This is the first book in the Financial Engineering Advanced Background Series.
Solutions Manual – A Primer for the Mathematics of Financial Engineering, Second Edition, by Dan Stefanica. FE Press, 2011. 2012. Top 3 QuantNet bestselling book in 2010, 2011, 2012, and 2013. This is the second book in the Financial Engineering Advanced Background Series.