One Interview Question for Job Seekers in FinanceJun 19, 2014 · 1 minute read · Comments
I presented in an earlier post that I was mostly disillusioned with interview questions, it’s better to find out if you can learn something out of a candidate.
Well there is maybe one very simple question that could be revealing, for people who pretend to be vaguely familiar with Black-Scholes:
What is the price of an at-the-money binary option under very high volatility?Alternatively it can be asked with just an at-the-money european option under very high volatility.
What makes think of it is that some “product manager” recently tested risk with volatilities at 300% and was wondering why they did not see any vega (based on a 1% additive shift), and opened bugs, generated noise…