Preparation for Stochastics Calculus Interview?

[Once_Set]

thanks, that's good to hear. I only have a phd in pure maths, so that was a real long shot. He was very rude actually, and said: any mathematician should know such and such, and asked me to send him my papers to prove I was a real mathematician. I thought that was insulting, and found out he is a physicist by trade! I would never dare to diss someone from a different discipline, I thought everyone has respect for one another.

However, it seems, this industry has little mercy for people who did not do financial maths.

 

[Ole Bueker]

Many years. The interviewer was either an imbecile and/or should have exclusively been interviewing people with PhDs in stochastic calculus. The MFE is not designed to engender this kind of in-depth stochastic expertise (it's also an open question to me about how applicable this stochastic calculus is in the world of finance).

Well, thing is, Once_Set does have a PHD in Pure Math so that's why the recruiters are expecting more than just the average MFE knowledge.

 

[bigbadwolf]

Well, thing is, Once_Set does have a PHD in Pure Math so that's why the recruiters are expecting more than just the average MFE knowledge.

Maybe not in stochastic. An algebraist or topologist or geometer won't know anything about stochastic. Presumably Once-Set indicated not only his PhD but also his area of expertise in his resume.

 

[bigbadwolf]

thanks, that's good to hear. I only have a phd in pure maths, so that was a real long shot. He was very rude actually, and said: any mathematician should know such and such, and asked me to send him my papers to prove I was a real mathematician. I thought that was insulting, and found out he is a physicist by trade! I would never dare to diss someone from a different discipline, I thought everyone has respect for one another.

However, it seems, this industry has little mercy for people who did not do financial maths.

What was he asking about? Some delicate and abstruse results in stochastic calculus that went beyond what Shreve talks about? And you with a PhD in pure math? He was a fucking idiot.

 

[yetanotherquant]

I had an interview recently where the guy said "Shreve is definitely not enough, I need you to study book X, Y and Z.

Just curious: what were these X, Y and Z?

 

[Once_Set]

Yeah, it was functional analysis. Might sound close to stochastic analysis, but it really isn't. I don't exactly know which books because he just mentioned the authors but haven't heard of them before...

 

[C S]

I often get asked stochastic calculus questions, and I read the book by Baxter and Rennie, and it's not helpful in that context.

In the interviews, they just want you to manipulate correlated processes, various stochastic integrals, different SDEs...

Does anyone know any good books/materials to practise applying basic Stochastic Calculus techniques?

thanks!

I don't think the recommendations given thus far are what you're looking for. You basically want a Thomas' Calculus for stochastic calculus, not a Rudin or even a Spivak. I understand where you are coming from. Especially in first several rounds at certain types of institutions, they will just throw something at you where say, the trick is to just compute the differential quickly and see if there is zero drift or whatnot. If you can't do that, they probably aren't going to be too impressed with your knowledge of the integrability hypotheses of some theorem about local martingales.

The best thing I found is interview books and forums. A lot of interview questions seem intimidating on first glance until you realize they are just variations of some common ones. Study the problems in Mark Joshi's quant interview book and Xinfeng Zhou (sp?) green book. And ask the people on Wilmott.com. They will have plenty of problems for you to practice on.

Good luck.