Is there a MFE syllabus?

[Zahra]

I can't go to the SOA website (I can't disable my Norton security). Is there a syllabus for MFE elsewhere? Do you know how many questions it will be?

[Kazodev]

Hopefully this doesn't look like crap:

LEARNING OUTCOMES – FINANCIAL ECONOMICS SEGMENT
A. Interest rate models
1. Evaluate features of the Vasicek and Cox-Ingersoll-Ross bond price models.
2. Explain why the time-zero yield curve in the Vasicek and Cox-Ingersoll-Ross bond
price models cannot be exogenously prescribed.
3. Construct a Black-Derman-Toy binomial model matching a given time-zero yield
curve and a set of volatilities.

B. Rational valuation of derivative securities
1. Use put-call parity to determine the relationship between prices of European
put and call
options and to identify arbitrage opportunities.
2. Calculate the value of European and American options using the binomial model.
3. Calculate the value of European and American options using the Black-Scholes
option-pricing model.
4. Interpret the option Greeks.
5. Explain the cash flow characteristics of the following exotic options: Asian, barrier,
compound, gap, and exchange.
6. Explain what it means to say that stock prices follow a diffusion process.
7. Apply Itô’s lemma in the one-dimensional case.
8. Apply option pricing concepts to actuarial problems such as equity-linked
insurance.

C. Risk management techniques
1. Explain and demonstrate how to control risk using the method of delta-hedging.

Note: Concepts, principles and techniques needed for Exam M are covered in the reference listed below. Candidates and professional educators may use other references, but candidates should be very familiar with the notation and terminology used in the listed references.

Texts – Financial Economics Segment

* # Derivatives Markets (Second Edition), 2006, by McDonald, R.L., Chapter 9-14 (excluding appendices), Chapter 20 through “Functions of an Itô Process”, Chapter 24.