The "Seminar on Interview Problems" focuses on solving problems from quantitative finance interviews. The seminar is mostly geared towards undergraduate students who have taken calculus and some linear algebra, but it is open to anyone who wants to attend. The problems we discuss are mostly from the books "A Practical Guide to Quantitative Finance Interviews" by Xingeng Zhou and "150 Most Frequently Asked Questions on Quant Interviews" by Dan Stefanica, Rados Radoicic and Tai-Ho Wang. These two books cover to varying degree the following topics:
Calculus and Ordinary Differential Equations.
Brainteasers
Probability Theory
Linear Algebra (esp. covariance and correlation matrices)
Stochastic processes (esp. Markov chains, martingales, Poisson processes and Brownian motions)
Stochastic calculus
Financial Mathematics
Numerical Methods and Simulations
Algorithms and Data Structures
The above list of topics is covered in a large number of classes at USC. For example, Calculus is covered in MATH 125, 126 and 226. Linear Algebra and Ordinary Differential Equations are covered in MATH 225. Probability Theory and Stochastic processes are partially covered in MATH 407, and more comprehensively in MATH 505a and 505b. Stochastic calculus and Financial Mathematics are covered in 530a and 530b. Numerical Methods are covered in classes like MATH 458 and 501. Algorithms and Data Structures are covered by various classes in the computer science department. One can find classes that cover to some extent Brainteasers and Simulations, such as MATH 290, MATH 395 and MATH 407, MATH 512, respectively.
Given that the list of topics is so wide, we will focus most of our attention on the first four topics above. Over time, we will try to incorporate some parts of the next four topics. There is no particular goal of the seminar other than to expose participants to some ideas of how to approach a large variety of problems, and through discussions and examples learn new interesting pieces of mathematics.
In Spring 2025 the seminar will be fully online, and will meet several times to discuss specific sets of problems. In addition, there will be several notes provided to seminar participants that should help them learn some useufl statements. Seminar participants can also suggest problems of their own, and I will do my best to cover these problems during meetings.
If you seek to join the seminar and/or gain access to the problem sets and notes, you can enter the piazza page for the seminar here.