Jane Street · Stochastic Processes

Jane Street 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. Jane Street is a proprietary trading firm known for ETF and options market-making and a famously probability- and mental-math-heavy interview process. Below are 5 stochastic processes problems of the kind asked at Jane Street.

All Jane Street questions, every stochastic processes question, or the whole bank.