The process took 1 day. I interviewed at Morgan Stanley (New York, NY) in Nov 2011
Interview
It was a academic conference, however, Morgan Stanley was recruiting there. Everyone submitted their resume in the morning, waited for being called in the afternoon based on the competency of their resume. I was called as the last one that day (because I submitted late). Had a one on one technical interview in a conference room. The employer seemed like a senior quant, looked very tired, and had not too much conversation with me. After a very brief self introduction(about twenty seconds), he started to asked me questions. First one was about Brownian motion and reflection theory, the second one was about flipping coins and its probability. I finished the two questions based on his hint. One thing to mention is, the way he solved the problems was really smart.
Interview questions [2]
Question 1
What is the probability of a Brownian motion hit 1 before hitting -2. The Brownian motion starts at 0.
The process took 1 day. I interviewed at Morgan Stanley (Londres, Inglaterra) in Apr 2011
Interview
It was the initial telephone interview. I had a few questions about my CV and why I have chosen some modules and about my dissertation topic. Why do I want to work for Morgan Stanley and why that position.
I had a few easy probability questions and some harder ones. The person interviewing was pretty nice.
Interview questions [1]
Question 1
You have a deck of 52 cards, and you keep taking pairs of cards out of the deck. if a pair of cards are both red, then you win that pair; if a pair of cards are both black, then I win that pair; if a pair of cards has one red and one black, then it's discarded. If, after going through the whole deck, you have more pairs than I do, then you win $1, and if I have more pairs than you do, I win $1. What is the value of this game in the long run?