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Big Ern
10-26-2007, 08:44 PM
With the risk of sounding stupid, do we get a table of normal values during the exam? Thanks in advance.

yanz
10-26-2007, 08:46 PM
I really hope so. I didn't take 8V, so I'm not sure, but maybe someone else did and will know (I didn't see a table in any of the old exams, but it could've been a separate handout). I'll try to dig through the old 8V threads...

ETA: this thread (http://www.actuarialoutpost.com/actuarial_discussion_forum/showthread.php?t=88773&highlight=normal+table)suggests that in the past, a normal table has been provided

howdy25th
10-28-2007, 09:33 AM
I was just about to post a qn on this. Somebody who knows the answer, please respond. I am assuming so too, but please confirm...

rekrap
10-28-2007, 10:26 AM
If there's not an entire table made available, select values should be given in a smaller table within any question requiring values be determined.

http://www.actuarialoutpost.com/actuarial_discussion_forum/showpost.php?p=2181737&postcount=4

TiderInsider
11-01-2007, 06:43 PM
:bump:

rekrap
11-02-2007, 06:41 AM
:lol: This thread was the first thing I thought of when that question came up... :judge:

statghost
11-02-2007, 09:23 AM
You can interpolate the N(d1) values from the table in part (e). The second column is d1, the third column is delta which is N(d1) - 1 for European put option.

yanz
11-02-2007, 09:49 AM
You can interpolate the N(d1) values from the table in part (e). The second column is d1, the third column is delta which is N(d1) - 1 for European put option.

I'm not sure they could rely on us to use info from part e to answer part c...

yanz
11-02-2007, 09:49 AM
:lol: This thread was the first thing I thought of when that question came up... :judge:

did you take the exam?!

Car'a'carn
11-02-2007, 10:28 AM
You can interpolate the N(d1) values from the table in part (e). The second column is d1, the third column is delta which is N(d1) - 1 for European put option.

But we still had to find N(d2). :shrug:

beeitt
11-02-2007, 02:11 PM
In the big 14 marks question,

The part where you need to fill in blank value is very similar to FE assignment
(opps is this considered as discussion or module assignment?if it does, delete it, but i don't think this is)
Anyway, you also need to find N(-d2) to find the bond part of hedge. Honestly, fill in the blank alone could take a lot of time, calculating d2 and N(-d2) and others. I don't know. maybe someone know a short cut. I know i could find the stock and delta part but the bond part, i blew it

Car'a'carn
11-02-2007, 02:19 PM
I noticed that the cash flow was the sum of the stock and bond columns, since there were enough values in the table filling up the blanks was easy.

yanz
11-02-2007, 02:44 PM
I noticed that the cash flow was the sum of the stock and bond columns, since there were enough values in the table filling up the blanks was easy.

I thought that was true as well (since it worked for the first row), but it wasn't true for one of the other rows (row 3 or 4), so I bailed on that strategy.

Car'a'carn
11-02-2007, 02:51 PM
I thought that was true as well (since it worked for the first row), but it wasn't true for one of the other rows (row 3 or 4), so I bailed on that strategy.

So I did not get all of it. :crying:

qqpp
11-02-2007, 03:02 PM
I thought that was true as well (since it worked for the first row), but it wasn't true for one of the other rows (row 3 or 4), so I bailed on that strategy.

That's what I thought. The first row was clear, but I wasn't sure if there is any interests that we need to account for for the later periods (thinking about that one question on a right-hand-side page from Goldfarb's manual with cumulative cost, interests, etc... can't remember the exact question and whether it's different enough than the one on the exam).

carzymathematician
11-02-2007, 04:28 PM
Recall all you're doing is buying a put = Ke^-rt*N(-d2) - S0N(-d1). This is equivalent to shorting N(-d1) of the stock and investing in the risk-free asset.

Allacalander
11-02-2007, 04:39 PM
The stock portion was given by the value of the index divided by delta. I think that's right. There was a simple relationship of some kind like that.

Allacalander
11-02-2007, 04:42 PM
There was another problem I needed the normal table for. The one where we had to determine the probability that the VA account was in the money in 2 years. I was pretty sure that was a basic statistics question, but without the normal table, I was sunk.

yanz
11-02-2007, 04:43 PM
There was another problem I needed the normal table for. The one where we had to determine the probability that the VA account was in the money in 2 years. I was pretty sure that was a basic statistics question, but without the normal table, I was sunk.

I wrote that the answer was N(d1) but I didn't have a normal table, so if I were to approximate the result with a binomial tree, I'd get [whatever].

Who knows what they were looking for there...

sundwarf
11-02-2007, 05:38 PM
looks like I start forgetting stuff already, but isn't N(d1) delta? the probability to be in-the-money is something related to N(d2)???

McMoM
11-02-2007, 06:21 PM
I used N(d2), thinking of it like a cash-or-nothing call, but looking back at the JAM practice exams the asset-or-nothing probably would have been a better comparison - it uses N(-d1).

clip77
11-02-2007, 09:19 PM
I used N(d2), thinking of it like a cash-or-nothing call, but looking back at the JAM practice exams the asset-or-nothing probably would have been a better comparison - it uses N(-d1).

N(d2) is the risk neutral probabilty. I don't know if the question is asking risk neutral probability - there should be a formula for assets following Geometric Brownian Motion...it was something like Ln(So) + (Mu - 0.5*Var)T?

I put both in the exam, and made a note about one being risk neutral and the other is the probability that follows the model. i don't know if they will consider my answer self-conflicting.

carzymathematician
11-07-2007, 04:29 PM
Was there a consensus as to whether this question could be considered defective or not?

yanz
11-07-2007, 04:33 PM
I was told to be safe and write in a complaint. Even if it doesn't get thrown out, they'll take the complaint into consideration when grading [supposedly].

carzymathematician
11-08-2007, 09:31 AM
I was told to be safe and write in a complaint. Even if it doesn't get thrown out, they'll take the complaint into consideration when grading [supposedly].

So have you written to them?

yanz
11-08-2007, 09:53 AM
So have you written to them?

no. I, personally, have not.

carzymathematician
11-08-2007, 10:19 AM
no. I, personally, have not.

Ok, I will go ahead and send an email. Do you remember what question this was? Or will it be sufficient to write "RE: that 14-pt question"? :)

rekrap
11-08-2007, 10:30 AM
Ok, I will go ahead and send an email. Do you remember what question this was? Or will it be sufficient to write "RE: that 14-pt question"? :)

The test should probably be out today or tomorrow, if you would like to wait.

yanz
11-08-2007, 10:31 AM
I believe it was #6. The parts that required a normal table were a, c, [and possibly e], and parts d and f relied on comparing numerical answers received in the above parts.

carzymathematician
11-08-2007, 02:22 PM
Just sent a note. I guess we'll just have to wait and see what happens!

carzymathematician
11-08-2007, 03:31 PM
This was the response that I got

Thank you for taking the time to share your thoughts and concerns with regard to Exam FET. Your comments have been forwarded to the Exam committee for review. Your patience in awaiting a response is appreciated. We will forward the Exam committee’s response to your comments after grades are released.