-1
$\begingroup$

I am going for an interview for a quant job. The interview will focus on my mathematical knowledge about stochastic process & stochastic calculus, and I believe I will definitely be asked to solve questions of stochastic process (Ito/Poisson, etc.), stochastic calculus, and perhaps to price/model several financial instruments (such as interest rate swap, CDS, etc.).

Could you please suggest me a way to learn stochastic process & stochastic calculus, to the extent that I can response and solve the questions from the interviewers?

$\endgroup$
4
  • 1
    $\begingroup$ Two weeks is not a long time to master those mathematical notions, however, I would recommend the book "An Introduction to the Mathematics of Financial Derivatives" by Hirsa and Neftci. It slowly builds up to derivatives pricing (including credit derivatives) from the ground. $\endgroup$
    – A.P.
    Feb 14 at 3:06
  • 1
    $\begingroup$ Destructive edits are not allowed on answered questions. $\endgroup$
    – Bob Jansen
    Feb 14 at 8:45
  • 3
    $\begingroup$ This is the worst question I have ever seen on this site... $\endgroup$ Feb 14 at 8:55
  • $\begingroup$ I've seen worse. Also, they didn't have a nice answer like this one. Please, don't downvote this to -4 as it will become invisible and people will miss out on the answer. $\endgroup$
    – Bob Jansen
    Feb 14 at 11:16
7
$\begingroup$

This is impossible unless you are very intelligent with good memory-retention skills and already mathemathically proficient in the field of analysis and statistics (and no, a single course in basic probability theory does not suffice). And even if you are, two weeks is an extremely short amount of time.

However, assuming these criteria are satisfied, I would recomment the following 4 books. Assuming that you don't finish the entire book (e.g. by skipping some chapters that are more advanced or niche), then one might say that there's 400 pages to read per book, so 1600 pages in total.

But you also need to do exercises since that's how you know that you're actually learning, and that's also how the interview will be like. So let's say that you spend 4 days doing non-stop exercises (you can find these in the above 4 books). That means you have to read 1600 pages in 14 - 10 = 10 days, so about 160 pages per day. Definitely do-able, but only if you're smart enough to retain the material (which, sorry to say, you probably aren't).

But if you want to take a shot, the books are:

  1. Hull's Options, Futures, and Other Derivatives ... this is the least theoretical (it isn't even theoretical at all, actually) of the books, but gives an encyclopedic (but again, very basic!) overview/intro to all the topics. A good read though, but it is very long, so select only relevant chapters!
  2. Joshi's The Concepts And Practice of Mathematical Finance. Now it gets kind of hard, and the mathemathical models that Hull briefly described are looked at in-depth.
  3. Joshi's Quant Job Interview: Questions and Answers book. If you can deal with this, you might not even need to read 4.
  4. Karatzas and Shreve's Brownian Motion and Stochastic Calculus. This is super theoretical, but good to give it a read-through to make sure you really understand the underlying heavy math around these processes.

However, please realize that reading and understanding ANY of these books, even during full-time study, would take at least a month under normal circumstances. I would recommend not wasting the interviewer's time, and letting them know you won't be attending. But if you really do want to become a quant, take a few month's and study the above 4 books and really master the concepts.

$\endgroup$
0

Not the answer you're looking for? Browse other questions tagged or ask your own question.