1,000+ quant interview questions for Jane Street, Citadel, Two Sigma, DE Shaw, and other top quantitative finance firms.
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Difficulty: Hard
Category: Probability & Statistics
Practice quant interview questions from top firms including Jane Street, Citadel, Two Sigma, DE Shaw, and other leading quantitative finance companies.
Topics: probability, expected-value, asymptotics, geometric-distribution
You are tasked with analyzing the potential upside of a new options trading strategy. The strategy's profitability in any given day can be modeled as a Geometric random variable representing the number of successful trades before the first failure, with a daily success probability p. You want to estimate the expected maximum daily profit over n trading days. Assume daily profits are independent and identically distributed. Let $X_1, X_2, ..., X_n$ be i.i.d. Geometric random variables with succ
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