It's funny, this question seems to come up every year for finance. You can probably find answers if you search long enough, but there is no harm in asking.
There was a user on here named hedgequant that wrote about two interviews he had. One that asked something about first order stochastic dominance and it's applications and the other that was more interested in big picture questions. So at least some finance programs do ask technical questions, but most don't. They are more interested in your motivation for a phd and the broad questions that interest you. Your technical ability is more observable from transcripts and test scores.