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Product Details
Paperback: 388 pages
Publisher: Pilot Whale Press; 2 edition (May 25, 2013)
... Joshi's book justifies the price both in cash, and more importantly the number of hours it will consume to make sure you do this stuff right. Give there are >225 main questions that can work out as one to two weeks of your life, and of course, I have to tell you that the longer you take to work through it the more time you should work on this stuff to get the job you want. ... Given this review you can expect to see it in the new recommended reading list for our Quant Career Guide.
Dominic Connor on wilmott.com
About the Author
Mark S. Joshi is a Professor in the Centre for Actuarial Studies at the University of Melbourne. He has wide experience of teaching courses in financial mathematics and has previously held posts at the University of Cambridge and at Royal Bank of Scotland Group Risk Management. In February 2004 he was appointed Head of Quantitative Research Centre (QUARC) at RBS. He is the author of six books and numerous papers on both financial and pure mathematics, and has been an invited speaker at many international conferences.
Mark Joshi obtained a B.A. in mathematics (top of year) from the University of Oxford in 1990, and a Ph.D. in pure mathematics from the Massachusetts Institute of Technology in 1994. He was an assistant lecturer in the department of pure mathematics and mathematical statistics at Cambridge University from 1994 to 1999. Following which he worked for the Royal Bank of Scotland from 1999 to 2005 as a quantitative analyst at a variety of levels, finishing as the Head of Quantitative Research for Group Risk Management. He joined the Centre for Actuarial Studies at the University of Melbourne in November 2005 as an associate professor and is now a full professor.
"More mathematical finance" was published in September 2011.
In 2013, the second edition of "Quant Job Interview Questions and Answers" appeared in May and a new book on portfolio theory joint with Jane Paterson came out in July: "Introduction to Mathematical Portfolio Theory."
I completely agree with the previous opinion. I have been interviewing with investment banks for some period. The permanent difficulty has been how to prepare for the interview. Who is a bit familiar with the topic knows, that virtually any subject ( from Lie groups and connexions to IFRS bookkeeping standards ) can pop up during the interviews. Given the time constraint for the preparation theses technical interviews are always a "pain in the arse". But not any longer. Actually the problems in this book ARE the questions which are asked by the firms. Just to name a few : 1. Solve the OU equation and get its moments ( Lehman ) 2. What are martingales, filtration, etc ( BarCap ) 3. Generate exponentially distributed random numbers in 2D ( Morgan Stanley ) 4. The barrier options and their vega ( ABN Amro ) 5. Hedging and its practices ( a small IT firm in Munchen ) 6. And a LOT ( really ) of coin throwing, binomial trees, mostly associated with practical finanacial problems ( CDS, ameriacan and barrier options, etxc). 7. Soring algorithms
These problems ARE covered in the problem set. So if you can solve, say, 70% of all questions it must be sufficient to get through the interviews.
There are some problems with the book. It should contain a bit more stuff on PDE's and first generation exotics. E.g. 1. Schetch the quantitative behavoiur of a solution of a double barrier for a given payoff 2. Derive the price for a perpetual up and in option ( etc )
I am recommending this book with the books of Joshi ( Concepts of Finance ) and Rebonato ( the perfect hedger and the fox ). If you interview for a senior position these books may also suit you, since you are often grilled with these coin throwing things even for a VP position.
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15 of 18 people found the following review helpful
This is a great book if you need to prepare for quantitative interviews of any kind, and not just quantitative finance interviews. The book has a nice collection of logic and probability puzzles which get asked at a variety of interviews. Then there are lots of Black-Scholes, option pricing questions which might be of help to those facing quant interviews. There are math questions from complex analysis, matrix theory that I found really good.
All questions are solved, and the author also gives some follow up questions after the solutions. I often found some of these follow up questions very hard, and maybe the author can give some hints to them too. The author runs a website where you can interact with him, but then I am sure he is too busy to be answering all queries. So maybe in a future edition he will drop some hints to some of the harder follow up problems too.
And in the probability questions, the author doesnt use ideas from stochastic theory, which could lead to some problems being solved really quick. So maybe the author should also consider including alternative solutions to questions, whenever and whereever possible.
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I am a math finance student who will soon start a summer internship on Wall Street. I want to leave feedback for the best and worst books that I used in my studies so far.
The book is well balanced. The advice on the interviewing process and what should expect there is excellent. Topics covered: Options pricing Probability Interest rates Numerical techniques Mathematics Coding in C++ Brainteasers
There are extra questions (but with no solutions) in each chapter.
The solutions are good and detailed. One comment is that the questions are thrown together in a way that makes it hard to know which ones are easy/hard, and are more likely to be asked in first interviews. But if you know everything in the book you look really good on interviews.
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The first interviews book to have real programming questions, and a good selection of topics. Too bad the related questions at the end of most questions do not have solutions. The authors give the impression that they try hard to look smart.
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I heard this book useful. Read some pages. It is good. I knew where I should improve myself. This book cannot provide the knowledge to you. But can let you know where you should learn and recommend the books in that area to you.
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