Winter 2020

For Winter 2020, we will meet on Mondays, 11:30-12:50am in USB 2234. Link to Market Report Sign-up Sheet

Meeting agenda


  1. Coding warmup: Project Euler problem 81. Does this look familiar?

  2. Let’s build a simple tranched credit index. For more depth on tranched credit indices, see this BIS article or this more entertaining FT report (requires free signup with Alphaville). Get starter code. sol


  1. Quant Interview Questions
    • Imagine an infinite chess board. Suppose knight begins at center of the board. In how many cases can he possibly end after 10 moves. You actually don’t have to give an exact number but an estimate is fine.
    • Warm-up: Describe heapsort, quicksort, breadth first search and topological sort.
  2. Option Pricing in Python [Notebook], [Solution]


  1. Quant Interview Questions
    • Warm-up: individually, solve interview problem 3.16, which goes like this: You have a bucket of unfair coins. Each coin has a probability of getting heads, $p$, which is uniformly distributed between zero and one. You pick a coin, and flip it 64 times, getting 48 heads. What is the expected value of $p$ for your coin?
  2. Creating Black Scholes Volatility Surface