b**********5
发帖数: 51 | 1 刚接到GS面试。想跟我（刚从一个美国FE硕士项目毕业）面试如题职位。但是，我对此
职位，不
是甚了解。请问这职位是大概做些什么？可能会遇到些什么样的quantitative or
technical
interview questions
Thanks in advanced. |
b**********5
发帖数: 51 | 2 1. Which method is the best to price the long-term American put option?
Lattice Models – Binomial/Trinomial Tree (can adjust the change of interest
rate and dividend payments at the nodes). And how to use the Binomial Tree
model (elaborate the whole process of pricing using Binomial Tree model)?
2. For no matter what kinds of reasons we can’t price the one-year American
put. Here we have the prices of 1-month, 3-month, 6 month and 1-year
European put options. Should the price of the one-year Ame |
d*j
发帖数: 13780 | 3 you are good
best luck !
interest
Tree
American
to
【在 b**********5 的大作中提到】
: 1. Which method is the best to price the long-term American put option?
: Lattice Models – Binomial/Trinomial Tree (can adjust the change of interest
: rate and dividend payments at the nodes). And how to use the Binomial Tree
: model (elaborate the whole process of pricing using Binomial Tree model)?
: 2. For no matter what kinds of reasons we can’t price the one-year American
: put. Here we have the prices of 1-month, 3-month, 6 month and 1-year
: European put options. Should the price of the one-year Ame
|
b**********5
发帖数: 51 | 4 I shared my interview questions here, so people can discuss them to prepare
the interview for quantitative positions. |
d*j
发帖数: 13780 | 5 恩， 你也多看看本版历史
问的问题都很基本
prepare
【在 b**********5 的大作中提到】
: I shared my interview questions here, so people can discuss them to prepare
: the interview for quantitative positions.
|
k*******g
发帖数: 263 | 6 is this really a quant position? |
b******e
发帖数: 118 | 7 For question 2, why is the answer yes? American put is always worth more
than the corresponding European put, isn't it? |
b**********5
发帖数: 51 | 8 bitalice,
I think the interviewee is asking approximation, not the exact value.
And please note that this is my ans to the questions, but the ans given by
the interviewee. So welcome discussion. |
a***r
发帖数: 594 | 9 No and Yes
do strats work mainly with paper/pencil, matlab, SAS, leaving all
implementation completely to "IT" or developers?
No.
Are strats responsible for all the models used on GS trading desks, from
conception to last line of code, to regression tests, to day to day
maintenance and extensions?
Yes.
Are strats paid as well as traders and Sales?
No.
Do strats derive bigger half of their income from bonus?
Typically Yes.
【在 k*******g 的大作中提到】
: is this really a quant position?
|
d*j
发帖数: 13780 | 10 第二个可能不是普遍的现象吧
GS难道就没有类似于 citi DP 的东西？
desk quant 基本不用建立模型做 pricing
只要知道大体意思， 在VBA里面直接call就可以了
【在 a***r 的大作中提到】
: No and Yes
: do strats work mainly with paper/pencil, matlab, SAS, leaving all
: implementation completely to "IT" or developers?
: No.
: Are strats responsible for all the models used on GS trading desks, from
: conception to last line of code, to regression tests, to day to day
: maintenance and extensions?
: Yes.
: Are strats paid as well as traders and Sales?
: No.
|
|
|
a***r
发帖数: 594 | 11
what I said ARE facts and typical facts about GS strat group.
Citi is not among the places I worked at. Neither have I interviewed at
citi or interviewed that many people from citi.
So I do not know what city DP is
【在 d*j 的大作中提到】
: 第二个可能不是普遍的现象吧
: GS难道就没有类似于 citi DP 的东西？
: desk quant 基本不用建立模型做 pricing
: 只要知道大体意思， 在VBA里面直接call就可以了
|
d*j
发帖数: 13780 | 12 恩， 也许你说的那些 strat 是高盛的 core strat
要写很多程序的那种
其他的人调用他们的结果
【在 a***r 的大作中提到】
:
: what I said ARE facts and typical facts about GS strat group.
: Citi is not among the places I worked at. Neither have I interviewed at
: citi or interviewed that many people from citi.
: So I do not know what city DP is
|
a***r
发帖数: 594 | 13 what I said ARE facts and typical facts for ALL strats in GS. not limited to
core strats.
core strats do NOT think and implement models.
core strats develop and maintain SLANG language, the SLANG IDE (secview), Security Database (secdb),
real time analytics framework (Freddie), java based data presentation
framework (STM i.e. SLANG Table Model), SLANG distributed computation framework and CPU pools, etc. Some say core strats are the
glue that keeps all strats together even though they are distri
【在 d*j 的大作中提到】
: 恩， 也许你说的那些 strat 是高盛的 core strat
: 要写很多程序的那种
: 其他的人调用他们的结果
|
d*j
发帖数: 13780 | 14 谢谢 多谢大牛指点， 其实看起来差不多啊
你的意思是 core strat 弄一个 pricing library
然后其他的 strat 也许会调用里面的一个 swap pricer 两次， 算算vega
to
Security Database (secdb),
framework and CPU pools, etc. Some say core strats are the
to
【在 a***r 的大作中提到】
: what I said ARE facts and typical facts for ALL strats in GS. not limited to
: core strats.
: core strats do NOT think and implement models.
: core strats develop and maintain SLANG language, the SLANG IDE (secview), Security Database (secdb),
: real time analytics framework (Freddie), java based data presentation
: framework (STM i.e. SLANG Table Model), SLANG distributed computation framework and CPU pools, etc. Some say core strats are the
: glue that keeps all strats together even though they are distri
|
a***r
发帖数: 594 | 15 seriously dude. I wrote:
core strats: "do NOT think and implement models"
desk strats: "both the app's that call the pricing libraries AND the pricing
libraries themselves."
you sure you don't have communication problems with your traders too?
【在 d*j 的大作中提到】
: 谢谢 多谢大牛指点， 其实看起来差不多啊
: 你的意思是 core strat 弄一个 pricing library
: 然后其他的 strat 也许会调用里面的一个 swap pricer 两次， 算算vega
:
: to
: Security Database (secdb),
: framework and CPU pools, etc. Some say core strats are the
: to
|
d*j
发帖数: 13780 | 16 恩， 我先入为主了。。。。
我当时想了想， 我认识的一个 core strat, 2个 你定义的 sales strat, 一个 偏qua
nt的 strat, 和你说的不大一样
通过他们听说的 core strat 的工作也是偏向编写library的
pricing
【在 a***r 的大作中提到】
: seriously dude. I wrote:
: core strats: "do NOT think and implement models"
: desk strats: "both the app's that call the pricing libraries AND the pricing
: libraries themselves."
: you sure you don't have communication problems with your traders too?
|
a***r
发帖数: 594 | 17 OK.
core strats do write libraries, but those are not pricing model libraries.
basically core wites SLANG (security language) which is a scripting language
used in GS. core writes the parser, the front end, the debugger. And Secdb
(security database). core only write codes that would be used by most of the
500+ strats.
sales strats rarely write fundamental pricing models. but for exotic
products, they do need to spend time coding cash flows, and combining
existing models to price a complicated s
【在 d*j 的大作中提到】
: 恩， 我先入为主了。。。。
: 我当时想了想， 我认识的一个 core strat, 2个 你定义的 sales strat, 一个 偏qua
: nt的 strat, 和你说的不大一样
: 通过他们听说的 core strat 的工作也是偏向编写library的
:
: pricing
|
d*j
发帖数: 13780 | 18 Thank you very much, for those info.
Super cow
sorry, cannot type in Chinese now ...... |
B*********n
发帖数: 2552 | 19 Nobody give a shxt to your original post asking about the interview.
Now you posted the questions and people start to discuss.
How sad this place is.
Good luck on you LZ.
【在 b**********5 的大作中提到】
: 刚接到GS面试。想跟我（刚从一个美国FE硕士项目毕业）面试如题职位。但是，我对此
: 职位，不
: 是甚了解。请问这职位是大概做些什么？可能会遇到些什么样的quantitative or
: technical
: interview questions
: Thanks in advanced.
|
H**********g
发帖数: 1312 | 20 算greeks对trading真的有用吗？
【在 d*j 的大作中提到】
: Thank you very much, for those info.
: Super cow
: sorry, cannot type in Chinese now ......
|
t**********a
发帖数: 166 | 21 Core strat in GS is more like pure developer on their own system slang. They
might not know anything about derivative pricing. They are more doing very
computer-science like stuffs, like distributed computing optimization,
language parser, etc.
Desk strat is more focused on pricing and also the support for the their own
part of core system from end to end. They will even provide the GUI to the
end user using the tools developed by core strat.
BoA, JPM and MS are all hiring GS core strat talents |
