Martingale Quant Interview Guide
Martingale quant interview guide for conditional expectation, fair-game intuition, pricing-measure links, stopping caveats, and examples.
Candidates seeing fair-game, stopping, and pricing-measure prompts.
A martingale has no conditional drift
A martingale is a process whose expected future value, conditional on current information, equals its current value. It is often described as a fair game.
It can still be risky
Martingale does not mean constant or safe. The process can have large variance even when its conditional expected change is zero.
Concrete example
A fair random walk with plus-one or minus-one steps has expected next value equal to its current value, but paths can still hit large gains or losses.
Pricing uses martingale ideas
Under risk-neutral pricing, discounted asset prices are often modeled as martingales under the pricing measure. Keep that measure separate from real-world probability.
Common mistakes
Candidates often apply optional stopping without conditions. Martingale intuition is useful, but stopping rules and integrability assumptions matter.
Practice the pattern
Use the LeetQuidity curriculum and calibration to turn this topic into a focused practice plan.