You ask your asset manager how your portfolio is doing, but who does he ask? Probably MSCI. The company, formerly Morgan Stanley Capital International, manages more than 145,000 daily equity, fixed income, and hedge fund indices for use by large asset management firms. MSCI is organized through two business segments. Its Performance and Risk business provides equity indices, portfolio risk and performance analytics, credit analytics, and environmental, social and governance (ESG) products under brands such as MSCI, RiskMetrics, and Barra. Its Governance business provides...
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Interview Details First round, phone interview with team leader. Asked about binomial tree, VaR and Ito's Rule. Second round is a take-home test. There are 3 problems and you need to finish it in 3 days. Not easy. Hand in report and MATLAB code. I'm still waiting for the result. – Full Interview
Price an vanilla option using 3 methods and the data provided. Send in the answer along with coding. – Answer Question