Linear regression is one of the simplest modelisation techniques and is a favourite among interviewers in quantitative finance. That's because a good understanding of the proof demonstrates a solid grasp of estimator concepts and good computing abilities.
We will derive the closed form of the Geometric Brownian Motion with Itô's lemma.
The proof of the Black Scholes and Merton partial differential equation for options is one of the most likely to be asked in any interview in Quantitative Finance. Let's go through it together.
There are different performance estimators that are industry-standard for assessing how a portfolio works. This is not an exhaustive list, but these are the four I believe are the most useful. All the measures presented below use historical data; they are referred to as ex-ante.
Options are a common topic in mathematical finance. Beyond the Black Scholes Merton Equation, it is good to know some basics about options as a product.
Congratulations for being invited to interview. In this memo, I'll share some practical tips to make the most of this opportunity!