If you apply for quant analyst/quant developer job at investment bank/ hedge fund your quantitative finance interview will generally consist of 4 parts: Programming (C++,python,data structures) General probability/calculus questions Stochastic calculus Derivatives pricing questions for asset class (equity derivatives,interest rate…
![[<<] PriceDerivatives blog](https://www.pricederivatives.com/en/wp-content/uploads/2014/03/cropped-pricederivatives-blog-logo-Copy3.png){kind=logo}
Tag: python
How to prepare for quantitative finance intervew
Posted in OTC derivatives valuation Tagged with: c++, otc derivatives, python, quantitative risk analysis
Derivatives CVA calculation example Monte-Carlo with python
Here we’ll show an example of code for CVA calculation (credit valuation adjustment) using python and Quantlib with simple Monte-Carlo method with portfolio consisting just of a single interest rate swap.It’s easy to generalize code to include more financial instruments…
