Baruch MFE R1 Prof. Andrew R2 Prof. Dan [2015-04-21]

jpandyhuang · 发表于 2015-4-22 00:47:04

Background: Oversea bachlor Math&CS with 1.5yr we in algo trading

Round 1: Prof. Andrew
1. Go through your CV, which market you currently cover?
2. C++ experience, I told him I have 6 year C++ exp, so he asked me have I ever used C++11, and what's its changes to earlier version.
Hmm, I say yes, I talked abt adding libraries, more user friendly, improving performance blablabla...(actually I was not quite sure, so I said something vauge)
3.Linear Algebra: N by N matrix how many roots in complex space, what is symmetric matrix, and what is positive semi-define
4.More Linear Algebra: {(1,a), (a,1)} abs(a) <1 is it positive semi-define why
5.Time Series, what is AR(2) give the expression, what's it relation to Wiener Process, and what is Wiener Process
6.Algorithm: give a psudo code for nth power of matrix M.
Well, first I think I can rewrite M = V^(-1)*D*V (V-eigen vector matrix D-eigenvalues on its main diagonal)
M^n =  V^(-1)*D^n *V
He wanted more general solution, since M maybe not diagonalizable. (Hint recursion odd/even)
Times up when I half finish - he said it's on the right way.
Confirm to the next round.

Round 2: Prof. Dan
1. Go through your CV from your graduate, why left this firm? (World is so big, I wanna have a look LOL)
2. Career Plan, why MFE
3. C++ exp. latest use of C++
4. 2^x = x^2 find the roots  2 obvious is one, is there any others. (4), is there any negative roots how many of them? (I got it wrong, only one negative root)
5. Is there any methods to find the negative roots?  (Newton method) , What is Newton Method? How can we derive it? (Taylor)
6. What is standard normal distr. give the pdf of it. integrate it prove equals to 1 (polar coordinate)
7. Questions
  a. RITC
  b. NY vs Chicago for trading jobs
  c. Is there any other interviews? (ask performance in another way)
Other offers,
For question 4 plot the graph you can ez find the answer is 3,  I did not do quite well on this question, made 2 mistakes another was I calculate (2^x)' wrongly
Overall, positive experiences but not sure whether can land an offer.
Finger Cross

424347985 · 发表于 2015-4-26 18:40:25

LZ怎么样，有信不？

ZiN_UP · 发表于 2015-4-28 09:49:48

楼主，我金融本科转申MFE，现在缺失C++背景。想问一下Baruch那个“C++ Programming for Financial Engineering Online Certificate”怎么样，是否能增加录取Baruch的概率？

感谢回答！！！！！！

[面试经验] Baruch MFE R1 Prof. Andrew R2 Prof. Dan [2015-04-21]

所属分类: 商学院申请

正在浏览此版块的会员 ()

浏览过的版块