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Math & probability
Stochastic Calculus
Brownian motion, Itô's lemma, SDEs
Overview
About stochastic calculus questions in quant interviews
Brownian motion, martingales, Itô's lemma, and stochastic differential equations — the continuous-time math behind derivatives pricing that researcher rounds drill into.
How to study this topic
A path that works
- 1
Start with the intro set
This topic skips the warm-up. Questions land at medium difficulty and above, so read each prompt twice before solving.
- 2
Drill the medium tier next
7 medium questions sit in the sweet spot where most interview questions cluster. Time yourself, then redo any you missed two days later.
- 3
Stress-test on hard problems
23 hard questions simulate the on-site round. Skip looking at solutions for at least 20 minutes, then write up your approach.
The library
All 30 stochastic calculus questions
mediumHawkes Process IntensitymediumBrownian Motion Markov PropertymediumBrownian Motion Quadratic VariationmediumRisk-Neutral Pricing IntuitionmediumItô Isometry and VariancemediumAdapted Stochastic ProcessmediumBrownian Motion Hitting ProbabilityhardItô's Lemma: The Log TransformhardGirsanov's Drift RemovalhardThe Radon-Nikodym DetectivehardFeynman-Kac ConnectionhardCIR Process Boundary ConditionhardHeston Variance ProcesshardKolmogorov Backward EquationhardExchange Option NumerairehardBlack-Scholes PDEhardDoob's Optional Stopping TheoremhardNovikov Condition and MartingaleshardDoléans-Dade Exponential IdentificationhardMerton's Jump Diffusion ParametershardStrong Markov Property ApplicationhardEuler-Maruyama Strong Convergence OrderhardMartingale Representation Theorem and Option PricinghardDigital Call Delta BehaviorhardReflection Principle and Brownian MotionhardPut-Call Symmetry in Zero Rate ModelhardLog Contract Static ReplicationhardBessel Process RecurrencehardExponential Martingale ExpectationhardLévy's Brownian Motion Characterization
View all 30 stochastic calculus questionsRelated topics