I applied through a recruiter. I interviewed at Jane Street in Dec 2012
Interview
I had two phone interviews. The first was mostly numerical problems with basic probability questions thrown in to test expected value knowledge. What is the expected value of a die roll? What is the probability I will get exactly 3 heads if I flip 4 coins? The second was a more brain teaser type problem. The interviewer seemed to be very frustrated when I couldn't solve the problem fast enough.
Interview questions [1]
Question 1
How much is a game where you can reroll a die worth to you (in EV) if you get paid the number of dollars of your die roll?