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Search: Posts Made By: Academic Actuary
Forum: Investment / Financial Markets 11-14-2019, 02:34 PM
Replies: 1
Views: 254
Posted By Academic Actuary
Arbitrage based transactions are not based upon...

Arbitrage based transactions are not based upon assumptions or expectations. A put can be replicated with a long call, a risk free 0 coupon bond and a short share of stock. There is an arbitrage if...
Forum: Long-Term Actuarial Math 11-10-2019, 01:56 AM
Replies: 3
Views: 322
Posted By Academic Actuary
There is a much easier way to calculate Cov...

There is a much easier way to calculate Cov (Y,Z). Substitute Y in terms of Z and use the fact that Cov(Z,Z) is the variance. The results is -Var(Z)/d.
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Forum: Financial Mathematics 11-07-2019, 11:06 AM
Replies: 6
Views: 336
Posted By Academic Actuary
There is no ambiguity. It says the first payment...

There is no ambiguity. It says the first payment due in 10 years which is 10 years from the inception of the loan. Value the loan one period before the first payment to avoid BGN mode.

I will...
Forum: Financial Mathematics 11-06-2019, 11:47 PM
Replies: 6
Views: 336
Posted By Academic Actuary
After you get familiar with formulas I would...

After you get familiar with formulas I would recommend trying to do problems like this using TVM functions. Accumulate the initial balance to time 4. Enter the 600 payment opposite sign) with an FV...
Forum: Financial Mathematics 11-04-2019, 11:28 PM
Replies: 8
Views: 564
Posted By Academic Actuary
Can you cite the current questions you found?

Can you cite the current questions you found?
Forum: Financial Mathematics 11-01-2019, 06:49 PM
Replies: 7
Views: 328
Posted By Academic Actuary
The interest portion of any coupon is the yield...

The interest portion of any coupon is the yield (initial yield to maturity) multiplied by the value (book) at the beginning of the period. To get the value at time 6 after you have calculated the...
Forum: Financial Mathematics 11-01-2019, 02:19 AM
Replies: 4
Views: 363
Posted By Academic Actuary
The formula looks correct but it is not the way I...

The formula looks correct but it is not the way I would solve it. I would solve for the present value at time 10 using the P,Q formula. Enter it into FV lets say with a negative sign. Enter -2000...
Forum: Financial Mathematics 11-01-2019, 12:57 AM
Replies: 5
Views: 343
Posted By Academic Actuary
I haven't worked it out but I suspect the...

I haven't worked it out but I suspect the solution involves solving a quadratic. Express the outstanding balances prospectively using annuities and multiply by i. You should be able to solve for...
Forum: Financial Mathematics 11-01-2019, 12:48 AM
Replies: 4
Views: 363
Posted By Academic Actuary
Your problem is ambiguous. Is there a one or two...

Your problem is ambiguous. Is there a one or two year interval from the final payment of 5 and the payment of 7?
Forum: Financial Mathematics 10-26-2019, 05:36 PM
Replies: 7
Views: 412
Posted By Academic Actuary
Closer but still off by a little.

Closer but still off by a little.
Forum: Financial Mathematics 10-26-2019, 12:59 AM
Replies: 7
Views: 412
Posted By Academic Actuary
Close but not correct. Try the monthly rate you...

Close but not correct. Try the monthly rate you found and use the present value to compute N on the calculator. Then use that N to see it gives the correct Future Value.
With the correct interest...
Forum: Financial Mathematics 10-24-2019, 11:57 PM
Replies: 7
Views: 412
Posted By Academic Actuary
The first statement will give a angle 12n. The...

The first statement will give a angle 12n. The second will give s double dot angle 12n. Take the ratio to give (1+i)^(12n+1) where i is the monthly rate. Add 1 to the s to convert it to 12n+1...
Forum: Financial Mathematics 10-24-2019, 05:17 PM
Replies: 6
Views: 298
Posted By Academic Actuary
Section 35 on investment allocation hasn't been...

Section 35 on investment allocation hasn't been on for close to 10 years now. A problem with Finan is he has a lot of formulas that are based on using tables and are not necessary if you use the...
Forum: Financial Mathematics 10-16-2019, 11:46 PM
Replies: 7
Views: 341
Posted By Academic Actuary
I would assume that the first dividend of 2...

I would assume that the first dividend of 2 includes the first year's growth. I don't like the wording as it is ambiguous.
Forum: General Actuarial 10-08-2019, 11:57 AM
Replies: 14
Views: 1,854
Posted By Academic Actuary
As a technical point, it would require more than...

As a technical point, it would require more than one compounding per year. If you had equal nominal rates and one compounding every two years, the simple interest would be ahead for two years.
Forum: General Actuarial 10-07-2019, 12:05 AM
Replies: 14
Views: 1,854
Posted By Academic Actuary
Very good example if you specify that the bicycle...

Very good example if you specify that the bicycle and plane will be tied at a specified time (like a year in the interest case).
Forum: Financial Mathematics 10-06-2019, 11:42 PM
Replies: 5
Views: 466
Posted By Academic Actuary
In his formula j is the rate earned on the...

In his formula j is the rate earned on the sinking fund (5%) and i is the explicit interest rate (5%). The 6% was just pulled out of thin air and doesn't mean anything in this problem.
Forum: Financial Mathematics 10-04-2019, 10:04 AM
Replies: 5
Views: 466
Posted By Academic Actuary
In a typical sinking fund problem there is a rate...

In a typical sinking fund problem there is a rate that determines the periodic interest payments, a rate that the sinking fund pays, and a rate that can be determined which is the equivalent rate if...
Forum: Financial Mathematics 10-01-2019, 12:14 AM
Replies: 5
Views: 466
Posted By Academic Actuary
I agree the wording is bad but I thought sinking...

I agree the wording is bad but I thought sinking funds were removed from the exam.
Forum: Probability 09-26-2019, 12:12 AM
Replies: 23
Views: 2,242
Posted By Academic Actuary
I'm impressed that he could simulate without a...

I'm impressed that he could simulate without a random number generator.
Forum: Financial Mathematics 09-14-2019, 09:46 PM
Replies: 5
Views: 478
Posted By Academic Actuary
The loan isn't paid in equal installments, it's...

The loan isn't paid in equal installments, it's paid in equal installments of principal.
Forum: Financial Mathematics 09-12-2019, 11:09 PM
Replies: 2
Views: 496
Posted By Academic Actuary
I think he is saying P(1) = 460/(1.05)^2, I(1) =...

I think he is saying P(1) = 460/(1.05)^2, I(1) = 2000 so the payment is the sum. Seems right to me. Gives a loan with 36 payments.
Forum: Short-Term Actuarial Math 09-10-2019, 11:05 AM
Replies: 3
Views: 668
Posted By Academic Actuary
As an alternative, the recursion formula is quite...

As an alternative, the recursion formula is quite simple with geometric frequency.
Forum: Financial Mathematics 08-01-2019, 05:35 PM
Replies: 5
Views: 652
Posted By Academic Actuary
and 196 at the end of each of the next 2n years

and 196 at the end of each of the next 2n years
Forum: Financial Mathematics 07-28-2019, 11:12 PM
Replies: 5
Views: 624
Posted By Academic Actuary
https://sqlsunday.com/2014/08/17/30-360-day-count-...

https://sqlsunday.com/2014/08/17/30-360-day-count-convention/

That's not correct. D2 is set to 30 from 31 only if D1 is 30 or 31.
Showing results 1 to 25 of 300

 

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