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Stochastic Processes Interview Questions
Stochastic processes and Itô calculus — Brownian motion, random walks, gambler’s ruin and geometric Brownian motion — underpin derivatives pricing and quant research interviews. All 10 stochastic processes questions below come with a full worked solution — sign in to check your answers and track your progress.
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Flips Until Two Heads in a Row
Jane StreetCitadel
Gambler’s Ruin
Jane StreetSIG / Susquehanna
Expectation of GBM
Goldman SachsMorgan Stanley
Variance of Brownian Motion
Goldman SachsMorgan Stanley
Covariance of Brownian Motion
Goldman SachsTwo Sigma
Expected Flips for HTH
Jane StreetSIG / Susquehanna
Random Walk Recurrence
Two SigmaDE Shaw
Quadratic Variation of BM
Goldman SachsTwo Sigma
Random Walk — Expected Steps
Jane StreetTwo Sigma
Expected Running Max of BM
Goldman SachsDE Shaw
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