Quant interview preparation and MFE admissions

For STEM students, PhDs and early-career engineers targeting research, trading or development roles, and for applicants to MFE and MFin programmes.

Free practice: 809 questions with worked solutions, including 263 quant interview questions and a timed quiz, plus coding interview practice with an editor that runs your code in six languages.

What actually gets tested

Most candidates grind brainteaser lists and arrive at a final round assuming the test is whether they can produce the answer. What the desk is watching is how you behave in the ninety seconds after you realise you cannot.

I have sat on the receiving end of these interviews, and I have done the job they select for. The preparation is built around what the desk is actually screening:

Probability under adversarial questioning — not the problem, but the follow-up to your answer, and the follow-up to that
Stochastic calculus to the depth genuinely required — Itô, change of measure, martingale arguments; and the large volume of it you can safely ignore
Market-making and pricing games — quoting under uncertainty, adverse selection, updating on order flow
Mental arithmetic at speed — resented by every client for the first month, decisive in the second interview
Coding screens — C++ and Python, with the performance questions that separate a developer from a scripter
Thinking aloud — being wrong confidently, then correcting quickly. The single most common reason strong mathematicians fail final rounds.

Where the depth comes from

Published academic work

My research sits at the intersection of probability theory and pure mathematics, and of both with markets. Two strands: high-frequency trading, and proving correctness of algorithms — graph algorithms and greedy algorithms — using category theory. Alongside it, algebraic topology, differential geometry and stochastic analysis.

This is not decoration on a tutoring profile. It is why I can take a client to the bottom of a measure-theoretic argument or a STEP question rather than to the edge of what I remember.

The mathematics, plainly

Candidates ask what depth is actually required. This is roughly it. If these read as familiar, the preparation is about performance rather than content. If they do not, that is the gap we close first.

Itô's lemma — why the second-order term survives

d f = (\frac{\partial f}{\partial t} + μ \frac{\partial f}{\partial x} + \frac{1}{2} σ^{2} \frac{\partial^{2} f}{\partial x^{2}}) d t + σ \frac{\partial f}{\partial x} d W_{t}

Ordinary calculus loses the third term. Quadratic variation does not vanish, and being able to say why in one sentence is the actual test.

Change of measure — Girsanov, and why anyone bothers

\frac{d ℚ}{d ℙ} = \exp (- \int_{0}^{T} θ_{s} d W_{s} - \frac{1}{2} \int_{0}^{T} θ_{s}^{2} d s)

Pricing is an expectation under a measure chosen to make a process a martingale. That is a convenience, not a claim about the world.

Optional stopping — the shape behind a surprising number of brainteasers

𝔼 [X_{τ}] = 𝔼 [X_{0}] for a bounded stopping time τ

Gambler's ruin, random walks on graphs, expected time to absorption. Once you see the shape you stop solving these from scratch.

Conditional expectation — the tower property

𝔼 [𝔼 [X ∣ 𝒢] ∣ ℋ] = 𝔼 [X ∣ ℋ] for ℋ \subseteq 𝒢

More interview probability reduces to conditioning correctly than to any other single idea. Most candidates are comfortable with it right up until it is the whole question.

Beyond this: Lévy processes, rough paths, the measure-theoretic underpinnings in depth. Enjoyable, and almost never asked. Preparing on that material is a way of doing something pleasant and calling it work.

Programmes

Quant Interview Intensive

For candidates with a live process, or one starting within the quarter.

DiagnosticAn assessment against the standard of your target firms before any teaching begins.

Six technical sessionsProbability, stochastic calculus, market-making, mental arithmetic, coding.

Two full mock interviewsRun at genuine difficulty, with written feedback.

Between-session supportWritten answers to anything you hit in the meantime.

Quant Career Programme

For candidates earlier in the process, or moving across from academia or software.

Everything in the IntensivePlus twice the technical contact time.

Firm selectionWhich desks actually suit how you think. Two of the five firms on a typical list are usually a poor fit.

Positioning and curriculum vitaeRewritten for a quant readership, which is not the readership a normal CV is written for.

Offer negotiationWhat is and is not movable, and how to ask without damaging the relationship.

MFE / MFin Admissions

For applicants to Baruch, Carnegie Mellon, Princeton, Oxford MCF, Imperial and equivalents.

Programme selectionPlacement records read properly, rather than as marketed.

Quantitative preparationClosing the specific gaps these programmes screen for at interview.

Essays and interviewsI will not write a sentence for you. That is why it works.

Fees are set on the introductory call, once the work is clear. Where a programme needs it, GRE preparation is included. Further reading: what a quant interview is actually testing, and quant interview questions with worked solutions.

Book a 20-minute call Write instead

Practise first: 209 quant interview questions with answers, or the timed quiz.

An hour on where you stand · £250

The assessment

Send your CV, transcript and targets, and I will have read them before we speak. In the hour you get an honest read of where you actually stand, your realistic chances at each target, and the deadlines that apply to you. Credited in full against any programme booked within a month.

Start the assessment — £250 Free 20 minutes first What the hour covers →