Actuarial Outpost
 
Go Back   Actuarial Outpost > Search Forums
FlashChat Actuarial Discussion Preliminary Exams CAS/SOA Exams Cyberchat Around the World Suggestions


Not looking for a job? Tell us about your ideal job,
and we'll only contact you when it opens up.
https://www.dwsimpson.com/register


Showing results 1 to 8 of 8
Search took 0.02 seconds.
Search: Posts Made By: BartimaeusOfUruk
Forum: Modules 1-5 05-06-2018, 09:10 AM
Replies: 4
Views: 1,127
Posted By BartimaeusOfUruk
Thank you everyone! Much appreciated :)

Thank you everyone! Much appreciated :)
Forum: Modules 1-5 05-03-2018, 09:16 AM
Replies: 4
Views: 1,127
Posted By BartimaeusOfUruk
EOM 1 Memo Date

This is probably not the smartest question, but what date did others use for the memo? Current date here in 2018 or a made up date in 2005 (the year we are supposedly in)?

Thanks much!
Forum: Investment / Financial Markets 01-11-2018, 10:58 PM
Replies: 1
Views: 971
Posted By BartimaeusOfUruk
By definition: y* = control variate y-bar=...

By definition:
y* = control variate
y-bar= Monte Carlo estimate for option y
x-bar= Monte Carlo estimate for option x
x = true price of option x

"The estimated variance of the variable being...
Forum: Investment / Financial Markets 01-11-2018, 10:04 PM
Replies: 4
Views: 1,881
Posted By BartimaeusOfUruk
Coaching Actuaries just released the IFM manual.

Coaching Actuaries just released the IFM manual.
Forum: Investment / Financial Markets 01-11-2018, 10:03 PM
Replies: 4
Views: 1,089
Posted By BartimaeusOfUruk
Time 0: 3 month put with strike 20 is sold ...

Time 0:
3 month put with strike 20 is sold
6 month put with strike 20.3 is bought
Net cash flow time 0 = +0.1

Time 3/12:
Borrower exercises put
Net cash flow: -20

Time 6/12:
Forum: Investment / Financial Markets 01-11-2018, 08:15 PM
Replies: 1
Views: 432
Posted By BartimaeusOfUruk
Question 2) Outright purchase: Buy stock...

Question 2)
Outright purchase:
Buy stock now: Pay S
If it grows at the risk-free rate -> stock is worth Se^r in one year
You also would be in possession of all the dividends the stock paid out...
Forum: Investment / Financial Markets 01-11-2018, 04:39 PM
Replies: 6
Views: 2,516
Posted By BartimaeusOfUruk
Accounting market interest rate lost

I tried to account for the interest the collateral would’ve earned had that money been invested instead.

Time 0: Collateral paid. I.E. lose market interest rate for period of time money was...
Forum: Investment / Financial Markets 01-11-2018, 01:31 PM
Replies: 2
Views: 683
Posted By BartimaeusOfUruk
From the chart you can see the cap will only pay...

From the chart you can see the cap will only pay at nodes ru and ruu.

At ru cap pays: (.06315-.06)/(1.06315)
At ruu cap pays: (ruu-.06)/(1+ruu)

Add in probabilities at each node
At ru:...
Showing results 1 to 8 of 8

 

All times are GMT -4. The time now is 12:50 PM.


Powered by vBulletin®
Copyright ©2000 - 2018, Jelsoft Enterprises Ltd.
*PLEASE NOTE: Posts are not checked for accuracy, and do not
represent the views of the Actuarial Outpost or its sponsors.
Page generated in 0.24829 seconds with 7 queries