I was offered a phone interview soon after I sent in my resume. The first round consisted of a few mental math questions and two harder probability questions. A day later, I was invited to the second round, also on the phone, which involved harder math questions, and I had to bet on my answers or give a confidence interval. In the third round, also over the phone, I was given a sum of money to play with. Then I got asked ridiculously difficult math problems and was given two minutes to solve them. After giving an answer, I was asked how sure I was about my answer, and then offered a bet based on my confidence percentage. I messed up and bet too aggressively and so ended up with no money left. As expected, that was the end.
The interviewers were all very nice and helpful, and they weren't going to sit there and listen to you suffer. However, sometimes, if the interview is during trading hours, the interviewer would forget or be too busy, thus delaying the interview for a few days. Basically, I had to prepare myself for an interview twice a week.
Apparently, there are four phone interview rounds and a final interview in NYC. I'm not sure why the process is so arduous, but if you truly like math and problem solving, you should find the interview a rather fun ride. The questions are difficult, but quite interesting.
