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Derek's Technical Notes

Highlight text in Latex. Posted by Derek Jing. On 6:23 PM in Latex. Hl{contents to be highlighted}. Posted by Derek Jing. On 1:04 PM in Interview. 1)For American option, when risk free interest rate increase, will it. Increase the possibility of early excises? 2)For best of two options, you buy one option, which will give you the best. Payoff between two underlying options. For example,for a best put option,. Two stocks A (A0 =100) and B( A0=100), strike =100, After time T, A became. 6) How to sort?

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Derek's Technical Notes | derekjing.blogspot.com Reviews

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Highlight text in Latex. Posted by Derek Jing. On 6:23 PM in Latex. Hl{contents to be highlighted}. Posted by Derek Jing. On 1:04 PM in Interview. 1)For American option, when risk free interest rate increase, will it. Increase the possibility of early excises? 2)For best of two options, you buy one option, which will give you the best. Payoff between two underlying options. For example,for a best put option,. Two stocks A (A0 =100) and B( A0=100), strike =100, After time T, A became. 6) How to sort?

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Derek's Technical Notes | derekjing.blogspot.com Reviews

https://derekjing.blogspot.com

Highlight text in Latex. Posted by Derek Jing. On 6:23 PM in Latex. Hl{contents to be highlighted}. Posted by Derek Jing. On 1:04 PM in Interview. 1)For American option, when risk free interest rate increase, will it. Increase the possibility of early excises? 2)For best of two options, you buy one option, which will give you the best. Payoff between two underlying options. For example,for a best put option,. Two stocks A (A0 =100) and B( A0=100), strike =100, After time T, A became. 6) How to sort?

INTERNAL PAGES

derekjing.blogspot.com

1

Derek's Technical Notes: 总结: Perpetual Binary Barrier Option

http://derekjing.blogspot.com/2010/04/perpetual-binary-barrier-option.html

总结: Perpetual Binary Barrier Option. Posted by Derek Jing. On 6:04 AM in Interview. 发信人: weekendsunny (醉生梦死), 信区: Quant. 标题: 总结: Perpetual Binary Barrier Option. 发信站: BBS 未名空间站 (Wed Mar 31 22:38:09 2010, 美东). Zhucai mm今天说的那个经典问题，说现在的股价是S=$80，有个barrier是K=$100，. 第一问: B S. 一个option， paysoff $1 when the stock hits B. 问价格是多少。第二问,如果是B S呢？现在买1/100只股票,stoppingtime的时候,payoff一样.所以定价应该是80*1/100=$0.8. Portfolio.也就是market不是non-arbitrage的,除非.除非你多给点条件. 原条件)如果S( K)向上 hit K=$100, knock-out with $1;.

2

Derek's Technical Notes: Jane Street 面试题目

http://derekjing.blogspot.com/2010/04/jane-street.html

Posted by Derek Jing. On 5:28 AM in Interview. 发信人: zhucai (zhucai), 信区: Quant. 标题: 被jane street拒了，发面经攒人品吧. 发信站: BBS 未名空间站 (Thu Feb 25 15:53:02 2010, 美东). 昨天面了第2轮电面，今天就发了拒信，效率真高啊。。几个心算题： 444 889, 20,000-22, 11%*56, 42 2. 认5次fair coin, 扔到的head个数为偶数的概率是多少；. 扔4次fair coin, exactly 3 heads的概率， at least 2 heads 的概率；. 扔两次dice, 第1次大于第2次的概率；. 扔12次fair coin，扔到的head个数为偶数的概率是多少；. Play a game, 扔两个10-faced dice, 取和。两个人猜，猜的数离实际扔出来的数最. 接近的赢。问你应该先猜还是后猜，（后猜的人不能跟前一个人猜相同的数），什么. 个小学生讲这个问题。。然后我就傻了）.

3

Derek's Technical Notes: Normal distribution in BOOST

http://derekjing.blogspot.com/2010/02/normal-distribution-in-boost.html

Normal distribution in BOOST. Posted by Derek Jing. On 1:46 PM in Boost. Subscribe to: Post Comments (Atom). Say goodbye to Windows! Normal distribution in BOOST. Getting started with Boost under Windows. Automatically generate PDF navigating bookmarks in.

4

Derek's Technical Notes: Barclay Capital Quant Analytics Interview Questions

http://derekjing.blogspot.com/2010/03/barclay-capital-quant-analytics.html

Barclay Capital Quant Analytics Interview Questions. Posted by Derek Jing. On 4:09 PM in Interview. How to hedge a digital option. What are the differences between future and forward, which of these will. Have credit or interest risk. Three IID r.v uniform(0,1) distribution, what is prob of x1 x2 x3. You. Need to get the result very quickly. What is pair trading, how to find two pairs. What is virtual function. What is pure virtual function. Why we need. Difference between declare and definition?

5

Derek's Technical Notes: JP Morgan 面经

http://derekjing.blogspot.com/2010/06/jp-morgan.html

Posted by Derek Jing. On 8:50 AM in Interview. 1 dX t = exp(-rt)dW t, what's the variance of X t? 2 stock price = 100, will be 120 w.p. 0.5, and 70 w.p. 0.5, what's the. Price of an at-the-money option? 3 what's the algorithm to generate normal r.v. and exponential r.v? 4 for what option you prefer to use finite difference, and what prefer. 5 How to detect a loop in a link list? 6 我不大会C ，就往我会的上面扯，我说我听过bubble sort和binary search，他就. 7 骰子题，应该是经典题了吧。最多可以掷三次，自己决定stop与否，payoff 是最. Say goodbye to Windows!

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Highlight text in Latex. Posted by Derek Jing. On 6:23 PM in Latex. Hl{contents to be highlighted}. Posted by Derek Jing. On 1:04 PM in Interview. 1)For American option, when risk free interest rate increase, will it. Increase the possibility of early excises? 2)For best of two options, you buy one option, which will give you the best. Payoff between two underlying options. For example,for a best put option,. Two stocks A (A0 =100) and B( A0=100), strike =100, After time T, A became. 6) How to sort?

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