See InsideTo be honest, the interview for this position will be very technical, let me emphasis again, very very back to the theoretical fundamentals. Most probably, there will be a white board in the conference room; be prepared that they may ask you to derive certain theory or formula on the board. Be very frank and open, if you don't know, you just say no, or else, tell them what you have in mind, and where the doubts ( or the gaps) lie preventing to reach a final conclusion. They will give you some hints to carry on. If they ask something you know, be very clear about your points, and be careful about the details, e.g., every one can easily give a BS formula, can you derive it step by step. Review ur stochastic calculus and what u put in ur CV. Good luck, give me a shout, when u get it.