Citadel · Stochastic Processes

Citadel 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. Citadel and Citadel Securities run some of the most competitive quant interviews in the industry, spanning probability, statistics and market-making intuition. Below are 3 stochastic processes problems of the kind asked at Citadel.

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