An interview with one of the head quants in the company, mainly answering some pure math questions related to probability. Then a take home assignment with some SDE questions, and studying some subjects from the little Wilmot book for the next interview sessions.
Then, 2-3 more interviews with a few senior quants in the company, going over the take home assignment, questions about the reading material and some basic programming questions in C.
Interview questions [2]
Question 1
In the first interview I was asked to analytically integrate the Gaussian distribution over the real line.
In the following interview I was asked to solve a simple SDE. This required chiefly knowing about quadratic variation of integration against the Wiener measure.