Stochastic Processes Questions for Hedge Fund Quant Interviews
A hedge fund quant round does not test stochastic processes the way a textbook does. This set is the overlap - the stochastic processes questions that actually turn up in this format.
43 questions, all free to practise. The split is 2 easy, 22 medium, 19 hard.
- Covariance of summed Brownian motionsEasyStochastic ProcessesView →
- Variance of a sum of Brownian motionEasyStochastic ProcessesView →
- A mean-reverting processMediumStochastic ProcessesFinance & DerivativesView →
- A two-step transitionMediumStochastic ProcessesView →
- Absorption probability on a lineMediumProbabilityStochastic ProcessesView →
- Conditioning Brownian motion on its futureMediumStochastic ProcessesView →
- Covariance of a Poisson processMediumStochastic ProcessesView →
- Dice game, up to three rollsMediumExpected ValueStochastic ProcessesView →
- Expected duration of a fair gameMediumExpected ValueStochastic ProcessesView →
- Expected flips for HHMediumRandom VariablesExpected ValueView →
- Expected rolls for two sixes in a rowMediumExpected ValueStochastic ProcessesView →
- Gambler's ruin (unfair)MediumProbabilityStochastic ProcessesView →
- Is W(t)³ a martingale?MediumStochastic ProcessesView →
- Is the random walk squared a martingale?MediumExpected ValueStochastic ProcessesView →
- Norm of a doubly-stochastic stationary vectorMediumLinear AlgebraStochastic ProcessesView →
- Reaching the target before ruinMediumStochastic ProcessesView →
- Short-rate modelsMediumStochastic ProcessesFinance & DerivativesView →
- Stationary distribution of a two-state chainMediumProbabilityStochastic ProcessesView →
- The SDE of the reciprocalMediumStochastic ProcessesView →
- Tuning an exponential random walkMediumProbabilityStochastic ProcessesView →
- Variance of a Brownian combinationMediumStochastic ProcessesView →
- Variance of a stochastic integralMediumProbabilityStochastic ProcessesView →
- Variance of a time-weighted Itô integralMediumCalculusStochastic ProcessesView →
- Variance of integrated Brownian motionMediumStochastic ProcessesView →
- Amoeba extinctionHardProbabilityStochastic ProcessesView →
- Branching process extinction (critical)HardProbabilityStochastic ProcessesView →
- Branching process extinction (supercritical)HardProbabilityStochastic ProcessesView →
- Drunk man on a bridgeHardExpected ValueStochastic ProcessesView →
- Expected flips for HHHHardExpected ValueStochastic ProcessesView →
- Expected flips for HTHHardExpected ValueStochastic ProcessesView →
- Expected revisits of the start stateHardExpected ValueStochastic ProcessesView →
- Four heads in a rowHardExpected ValueStochastic ProcessesView →
- Laplace transform of a Brownian exit timeHardStochastic ProcessesView →
- Making a power of Brownian motion a martingaleHardStochastic ProcessesView →
- Mean of a mean-reverting processHardStochastic ProcessesFinance & DerivativesView →
- Quadratic variation of a scaled Itô integralHardCalculusStochastic ProcessesView →
- Reflected paths ending below the levelHardProbabilityStochastic ProcessesView →
- Reflecting wall first-passage timeHardExpected ValueStochastic ProcessesView →
- Second moment of a Gaussian-kernel stochastic integralHardCalculusStochastic ProcessesView →
- The leap-frog's favorite landing spotHardProbabilityStochastic ProcessesView →
- Two Brownian values, both positiveHardProbabilityStochastic ProcessesView →
- When a power of the process is a submartingaleHardProbabilityStochastic ProcessesView →
- World Series bettingHardExpected ValueStochastic ProcessesView →
Widen the search
This set is a slice of two larger ones. If it is too narrow, start here instead:
Practise these free
Create a free account to check your answers, track what you have solved, and run the timed simulators.