发信人: waterloo0165 (tomcat3), 信区: Quant
标 题: JPMorgan interview questions: If implied volatility is lower than realized, how does one make money
发信站: BBS 未名空间站 (Tue Feb 4 13:06:54 2020, 美东)
JPMorgan interview questions: If implied volatility is lower than realized,
how does one make money hedging a call option? ED
1.Option payoff: (Max(s1,s2),0)+, find the p1,2 that could maximize the
payoff(p1,2 = -1)
2.Option payoff: 1(s>k), use which model to price it 5.assumptions of OLS
6.why no multicolinearity; how to check multicolinearity (VIF), definition
of VIF statistic, other methods without checking VIF? (large r squared, but
none of the parameters is significant)
8.arma, acf and pacf plots, very detailed
9.probability problem, conditional probability
10. expected time to clean up 100 dirty apples in a bag, pick one each time
Based on the AR(1) plot, what can you conclude about the correlation.
Whether W^3 is a martingale or not, if not, add a term and makes it a
martingale). Markov chain (2 people play a game, roll the dice one by one,
the person who first roll the 6 win, what is the probability of the 1st
person to win) 1)X,Y are standard random variables, the correlation is 0.5.
Given X, what's the conditional distribution of Y?
2)A,B,C are r.v.s. correlation between A and B is 0.9, between B and C is 0.
9. is it possible that A is unrelated to C?
3)Given two assets, their average return, variance of return and correlation
. Find a portfolio such that the sharpe ratio is optimal.
4)toss coins consecutively, get 1 pt if head is up…
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