First is phone interview in various quant topics (Lin alg, programming, stochastic, probability) and second is case study on some finance topic like option pricing or MC simulation, with presentation.
I applied through an employee referral. I interviewed at Wells Fargo in Feb 2021
Interview
One round of technical phone interview, and then got invited to complete a time-limited case study (derivative pricing exercise). Submitted powerpoint + written report + code (Python/C++/Java), and then presented case study results on "Super Day" technical interview round. Then, end with a round of behavioral interview.
Interview questions [1]
Question 1
How do you speed up the convergence of a Monte Carlo simulation? Do you know anything about C++ templates / Python @classmethod decorator / how to verify the properties of a pseudorandom generator?
Also, specific questions about choices and assumptions made in case study. Presentation lasted 10-12 minutes, but Q&A lasted four times as long.
one round phone interview covering basic ordinary differential equation, probability, statistics, Monte Carlo;
one round on-site interview on basic stochastic calculus (solution to Ornstein-Uhlenbeck, derivation of B-S equation), programming problems in easy level leetcode
Interview questions [1]
Question 1
On programming, there is one problem with the usage of virtual function; there's also a buffon's needle problem