It's entirely possible they were trying to force me to defend the position I'd taken. It probably annoyed them that I took their pet interview question (that they expected me to struggle with) and shot it down in front of them. Not that I'm claiming any special skills - probability is a hobby of mine, this problem was a gateway drug into it and I work at the very low/noddy end of quantitative finance - so a certain familiarity with things like these is to be expected. I was more surprised the guy didn't recognise the name when I said it.