GS equity derivatives trader interview
Hi, I have a GS equity derivatives trader position interview coming up this week, I am wondering what type of questions would be ask for my 1st interview. My background is more quant oriented, would they ask me anything more market related or questions such as BS model derivation? How can I study market perspective in a short period of time? WSJ?
bump
My guess (take with a grain of salt here) would probably be along the lines of brainteasers, EV/probability (think coin, dice, gambling setting), option payoff (know your Greeks intuitively!), potentially a coding aspect at some point, and maybe your general pulse on the market. Here's a typical sample platter I might ask personally:
1. You're outside a room with 3 light switches, each controlling one of the light bulbs. If you can only enter the room once, how can you determine which switch controls which light bulb?
2. You have two decks of cards: 13 reds & 13 blacks. The other has 26 reds & 26 blacks. We play a game in which you select one of the two decks and pick two cards from it - you win the game if you select two black cards. Which deck should you pick to maximize your chances of winning?
3. You can roll a dice up to 3 times. You are going to be paid by the face value of your last roll. How much are you willing to pay?
4. How would you use a Monte Carlo simulation to compute pi?
5. What is a strangle? If you don't know, I'll probably define it for you, give you some reference points and then ask if with the given info, can you draw me what the payoff graph looks like?
6. If you're long puts, what are your net positions for these greeks: delta, gamma, theta, vega. What if you're only short the underlying contract?
7. I might ask you what the last quote you saw for the DJI was, maybe pick your thoughts on where you see oil headed, etc.
8. Probably not asked as much these days, but for shits & giggles I'd see how fast you can do something like 57*43 in your head.
Remember, you don't have to always get the right answer. It's more about your overall thought process and how well you respond under stress.
For number 3 would it just be 3.5? It seems like there is no difference whether you have three rolls or a million if you are only paid based on the last one.
last as in most recent, EV is around 4.5ish, but u gotta work backwards from EV of 3.5, then you have to assign a value to each possible roll beforehand, something like max(roll, 3.5) etc....
Great questions! Would you mind sharing the answers
ans is below
1. Wall Street interview book
2. P(2 blacks from deck 1)=13/26*12/25, P(2 blacks from deck2)=26/52*25/51, deck 2 gives the maximum winning chance
3. 1st roll:text book answer: (1+2+3+4+5+6)/6=6*7/2/6=3.5, 2nd roll: 3.5*1/2+1/6(4+5+6)=4.25, 3rd roll: 4.25*4/6+1/6(5+6)=4.6667, n roll: converging to 6 infinitely
the correct strategy is that if first roll is less than 3, roll again, if 2nd roll is bigger than 3, stop, if 2nd roll is smaller than 3, roll for the 3rd time
4.
counter=0
for i in range(n):
X=2*Unif(0,1)-1, Y=2*Unif(0,1)-1
if X^+Y^2<=1: counter+=1
pi=4*counter/n
5. long strangle: ATM straddle with bigger gap in the middle
6. long puts: delta negative or 0, gamma always positive, theta always negative , vega always positive. short U.D: negative delta=1
7.
8.57*43=50*50-7*7=2451
Edited answer for Question 3:
given EV of 3 rolls are: 3.5, 4.25, 4.667, We should let these 3 values be threshold for optimal stopping point but in a reverse order
if first roll is larger than 4.667, stop right there. else, keep rolling
if second roll is larger than 4.25, stop....
Because as you increase the number of rolling a dice, the chances of getting a large number decreases.
Lmk if anyone comes with a better strategy than this one
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