Contents Basic Math（基本的数学内容）.pdf

QUANT JOB INTERVIEW QUESTIONS Contents 1. Basic Math 1 2. Probability 2 3. Markov Chains Applications 4 4. Brownian Motion and Stochastic Calculus 5 5. Option Pricing 6 1. Basic Math (1) One morning, in Springfield, somewhere in the US, it started snowing at a heavy but constant rate. Homer Simpson had just started his own snow- plow business. His snowplow started out at 8:00 A.M. At 9:00 A.M. it had gone 2 miles. By 10:00 A.M. it had gone 3 miles. Assuming that the snowplow removes a constant volume of snow per hour, determine the time at which it started snowing. (2) A hollow cone of semi-vertical angle arctan(1 ) is fixed vertex-downwards 2 with its axis vertical and is being filled with water at a constant rate k. A spider which can run at speed u is asleep at the end of a web, hanging at a height h vertically above the vertex. Find, in terms of k and h , 0 0 the minimum value of u that will enable the spider to escape a soaking, assuming that he starts to run upwards as soon as the water touches his feet. (3) Let A be an n ⇥n matrix, which is skew-symmetric, i.e. AT = A. If n is ~ odd, prove that Ker(A) =6 0, where Ker(A) is