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Search: Posts Made By: The Disreputable Dog
Forum: MFE 09-11-2017, 10:45 AM
Replies: 696
Views: 137,130
In the vein of questions that could probably be...

In the vein of questions that could probably be answered elsewhere:

Does anyone know how long the CAS takes to update their information with credit for joint exams? I see that there's a form you...
Forum: MFE 09-08-2017, 01:22 PM
Replies: 696
Views: 137,130
You and me! I was sure I failed. I must have...

You and me! I was sure I failed. I must have barely scraped by. That, or B was actually the right answer for the five questions I guessed at.
Forum: MFE 07-07-2017, 12:20 PM
Replies: 696
Views: 137,130
Gosh, that's got to be the worst, going in...

Gosh, that's got to be the worst, going in thinking you'll get results and then not getting them. I hope it went well, veronski.
Forum: MFE 07-06-2017, 05:01 PM
Replies: 696
Views: 137,130
Sarat, that's hugely helpful! Thank you! I was...

Sarat, that's hugely helpful! Thank you! I was looking for it too, but couldn't find it.

Someone needs to make a video lecture on how to best use the TI Multiview for this exam.
Forum: MFE 07-06-2017, 04:40 PM
Replies: 696
Views: 137,130
My spoiler was wrong, so that doesn't help. ...

My spoiler was wrong, so that doesn't help.

I got 0.17131427 as the final answer.

The -0.374422919 was actually β.

I'm pretty weak when it comes to covariances and variances and things...
Forum: MFE 07-06-2017, 04:25 PM
Replies: 5
Views: 648
This is just an off-the-cuff answer, but suppose...

This is just an off-the-cuff answer, but suppose you have a call. The call pays if the stock value is above some strike (say K=50). The average stock price may be 49, in which case the payoff is...
Forum: MFE 07-06-2017, 03:11 PM
Replies: 696
Views: 137,130
What is with the frowny faces on my posts? ...

What is with the frowny faces on my posts? That's is the second one that magically appeared.
Forum: MFE 07-06-2017, 02:36 PM
Replies: 696
Views: 137,130
Angry I've done a few at this point, but I think it was...

I've done a few at this point, but I think it was the first one since I wrote "YESS" in giant letters and circled it.



[[spoiler removed]]
Forum: MFE 07-06-2017, 12:53 PM
Replies: 696
Views: 137,130
:party: I correctly did a Monte Carlo problem...

:party: I correctly did a Monte Carlo problem using the McBoyle control variate modification!!

β = COV(X,Y)/VAR(Y) (where Y is the control variate)
Forum: MFE 07-06-2017, 12:07 PM
Replies: 696
Views: 137,130
Good luck today, everyone testing on the 6th! ...

Good luck today, everyone testing on the 6th! You can do it! Here's hoping that everything you don't want to see isn't there, and that everything you do want to see is.
Forum: MFE 07-05-2017, 02:36 PM
Replies: 1
Views: 731
Angry Monte Carlo Questions

It's embarrassing how weak I am on this section. It's a shame too, because it seems genuinely interesting.

Q. When we're asked for the variance of the estimated value of something we've...
Forum: MFE 07-05-2017, 02:00 PM
Replies: 13
Views: 3,664
No, I have no examples. And actually, it may not...

No, I have no examples. And actually, it may not be a viable approach. I just saw two ASM problems, and they unfortunately gave the minimum price of the stock over the period. That threw a wrench...
Forum: MFE 07-05-2017, 12:27 PM
Replies: 13
Views: 3,664
I'm hoping that if lookbacks come up they do so...

I'm hoping that if lookbacks come up they do so in a binomial tree fashion. I think the payoffs would be easy enough to calculate, and then you could take the discounted expected value.

In fact,...
Forum: MFE 07-04-2017, 04:10 PM
Replies: 696
Views: 137,130
You can do it! When it comes down to it, the...

You can do it!

When it comes down to it, the method is generally more important than the numbers. With incorrect numbers there's a reasonable chance that your final solution won't match any of...
Forum: MFE 07-04-2017, 04:01 PM
Replies: 696
Views: 137,130
You probably have your answer already, but if I'm...

You probably have your answer already, but if I'm reading your formulas correctly it's option 1. The multiples affect what we would traditionally call S and K, but they don't enter into the...
Forum: MFE 07-04-2017, 12:29 PM
Replies: 696
Views: 137,130
:party: I correctly priced a forward start...

:party: I correctly priced a forward start option!! (albeit the example in the ASM manual)

I'm feeling like I wish I could correctly price forward start and chooser options a month ago.
...
Forum: MFE 07-04-2017, 11:45 AM
Replies: 696
Views: 137,130
I'm coming up on Friday the 7th. I thought there...

I'm coming up on Friday the 7th. I thought there were a few others here going for Friday.
Forum: MFE 07-03-2017, 05:05 PM
Replies: 696
Views: 137,130
:party: I correctly priced a chooser option!! ...

:party: I correctly priced a chooser option!! (albeit the example in the ASM manual)
Forum: MFE 07-02-2017, 04:17 PM
Replies: 696
Views: 137,130
In question 17.4 on pg. 317 of the ASM manual...

In question 17.4 on pg. 317 of the ASM manual we're asked for the "mark-to-market profit on a delta-hedged portfolio". The solution on pg. 325 has us calculating the change in value of the option,...
Forum: MFE 07-01-2017, 05:41 PM
Replies: 696
Views: 137,130
Cat2014 ಠ╭╮ಠ It seems like people have...

Cat2014
ಠ╭╮ಠ

It seems like people have been practicing forward start and chooser options. I plan to review them when I get back around to exotic options. I think that, if you're triaging your...
Forum: MFE 07-01-2017, 04:41 PM
Replies: 696
Views: 137,130
In ASM section 17 we wind up with a formula to...

In ASM section 17 we wind up with a formula to directly calculate the overnight profit of a market-maker. Do you think we need to memorize this, or would it be reasonable just to calculate the...
Forum: MFE 07-01-2017, 03:44 PM
Replies: 3
Views: 874
I agree. Minimum payoff is -10, and the maximum...

I agree. Minimum payoff is -10, and the maximum is zero.
Forum: MFE 07-01-2017, 02:22 PM
Replies: 696
Views: 137,130
It occurs to me that you and I should probably be...

It occurs to me that you and I should probably be enemies.
Forum: MFE 07-01-2017, 01:20 PM
Replies: 7
Views: 1,828
Everyone keeps asking about TIA, and no one is...

Everyone keeps asking about TIA, and no one is posting first-hand experience. I used TIA for two other exams and highly recommend it. In fact, I haven't personally heard of anyone using it and...
Forum: MFE 07-01-2017, 12:37 PM
Replies: 696
Views: 137,130
Cat, the key to my understanding of that problem...

Cat, the key to my understanding of that problem (and I've done it a couple of times) is that there are three risk-neutral probable outcomes. p1*, p2*, and p3*. Those probabilities are the same for...
Showing results 1 to 25 of 300

 

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