D.E. Shaw interview preparation

Computational investment firm combining rigorous research and tech to drive systematic strategies across asset classes.

• Pricing a Simple Coupon Bond
• Chi-Square Test for Independence: Compute the Statistic
• Macaulay Duration of a 2-Year Coupon Bond
• Multiple Regression: Interpreting a Partial Effect
• Parametric 95% One-Day VaR (Normal Returns)
• Sample Size for a Desired Margin of Error (Proportion)
• Barrier Option Identity: Up-and-Out vs Vanilla
• Black–Scholes PDE Form
• Bond Price Sensitivity Using Duration and Convexity
• CLT Bounds: Berry–Esseen Sample Size
• Ito’s Lemma: Drift of log(S_t) under GBM
• LLN Rate: Chebyshev Sample Size Requirement
• MLE for a Poisson Rate Parameter
• Regression Diagnostics: Test for Heteroskedasticity
• Sufficient Statistic for Exponential Rate
• Time Series Stationarity: AR(1) Condition
• Two-Asset Portfolio VaR with Correlation
• Annual Bitcoin Mining Energy Consumption
• Bayesian Analysis of Negative Cancer Test
• Boy or Girl Paradox: Two Children Probability
• Conditional Expectation of Gaussian Given Sum Constraint
• Fermi Estimation: Stars vs Sand Grains
• Global Derivatives Notional Value
• Identify Copper Coins Box with Single Weighing
• Monte Carlo Estimation of Pi
• Phone Number Coincidence: Chance or Significant?
• Probability of More Than 550 Heads in 1000 Coin Flips
• Two Children Problem with Named Child (Tom)
• US Strategic Petroleum Reserve Capacity
• Expected Uniform Samples Until Sum Exceeds One
• Explicit Solution to GBM
• Feynman–Kac: PDE to Expectation
• Frog Cover Time on 4 Circular Lily Pads
• Girsanov: Brownian Motion under Measure Change
• Ornstein–Uhlenbeck Process: Mean Function
• Quant Fund GPU Backtesting Hours