some interview question

Martingale · Post by **Martingale** » Thu Sep 30, 2004 10:55 pm

Yes, unfortunately for general case, we have to resort to Laplace transform sheah to get the density and so on, see for example: http://users.ox.ac.uk/~newc1186/finance/pel_2000_dble_laplace_analytics.pdf

BigApple · Post by **BigApple** » Fri Oct 01, 2004 6:51 am

The driftful BM problem does have an elegant solution basically following the martingale method that Martingale outlined above. Just 3 or 4 lines more! Certainly not a few pages nor Girsanov theorem involved!

On my way to provide the reference or even a refined solution right here, but this whole thread sounds like being taken from a screening (take-home) test of Goldman Sachs. (Fibonacci, two cylinders, and this m0 BM one. Wouldn't be surprised if the best-of-seven game series question pops up here tomorrow.) For your knowledge, I wouldn't mind to tell you the details; but for your job interview where your true abilities are under test, it'll be unethical if I do so. Sorry... A close friend of mine was even let to struggle with these questions when he ran into Goldman, despite that I prepared him from his resume to interview practice. Anyhow, good luck!

Energetic, the Goldman test was take-home, although some sadists out there take great joy humiliating (out of revenge, perhaps???)

Patrik · Post by **Patrik** » Fri Oct 01, 2004 2:11 pm

Everyone seems to have stories about tougher-than-hell interviews with Goldie Sticks. Are they really that bad or is there an element of myth involved here?

From the stories I've read here and at the other place it sounds like they have a 100 people grilling candidates for days, without any food or water, ask hard things, etc. You almost get the feeling that they have a dark room and one of these very bright lights in your eyes etc - sort of like the strategies carried out by the bad guys in a movie when they are trying to get information from some poor hero Smiley

DW · Post by DW » Fri Oct 01, 2004 2:25 pm

Having placed a number of guys in their quant groups I can say that all the stories are true! Their IRD and Credit groups seem to be slightly tougher than Equities. Also, there are members of this forum who have successfully made it through the hoops, perhaps they can shed some light on whether they thought it was tough or not.

Johnny · Post by **Johnny** » Fri Oct 01, 2004 3:06 pm

[i]Everyone seems to have stories about tougher-than-hell interviews with Goldie Sticks. Are they really that bad or is there an element of myth involved here?[/i]

I heard about a guy that had to spent his entire summer there from morning til night in a darkened room having to programme weird commodities sheaaa in a weird homemade script. Terrible. I don't know why anyone would put themselves through that. Maybe Patrik you heard a story like that too?