First round was phone inerview. After that was on site interview. You will have enough time to prepare for interviews(almost a week). I was asked to derive Black Scholes formula in the phone interivew. In second round, I was interviewed by two interviewers. Interview questios include basic derivatives knowledge, B-S formula, change numeria, swaptions and different kinds of interest rate models .

Interview questions included quantitative and behavioral questions. The candidate should finish a paper test within 120 mins. It covers basic quant models and pricing topics. After that, the candidate will have 1 to 1 talk re some behavioral questions.