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 Investment / Financial Markets Old Exam MFE Forum

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#221
06-16-2017, 06:08 PM
 Art_Vandelay Member SOA Join Date: Oct 2013 Location: Birmingham, USA Studying for LTAM Favorite beer: bankston 88 Posts: 188

Quote:
 Originally Posted by ToBeAnActuaryOrNotToBe Not confident right now. I will try to finish the material by the end of next week. The rest of the time will be spent doing practice problems.
i'm currently taking adapt quizzes section by section right now, a little over halfway through. i've been doing 10 question quizzes for each section at 4-7 difficulty until I am able to get 8+/10, and then move onto the next section. i'm hoping to finish this by next weekend as well and then plow through practice exams for two and a half weeks. we got this!!!
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#222
06-17-2017, 03:09 PM
 The Disreputable Dog Member CAS Join Date: Dec 2011 Studying for prelims College: Somersby School Favorite beer: Worldwide Stout Posts: 996

Quote:
 Originally Posted by 1994 Hey guys, Quick question: When dealing with Monte Carlo Valuation, what's a surefire way to know if to calculate the path of the final stock price or just the average of the simulated stock price to get the final price? I know if they say use one run then we calculate the path but if they don't specify then do we calculate the result based on the average of the simulated stock prices? Thanks a lot
Problem 20.5 in ASM was an interesting example of when the path may be necessary (outside of the usual reasons). It gave a stock which paid quarterly dividends of 1. In order to simulate the price of the stock at the end of the year, it required us to simulate the growth in each quarter, subtract off the dividend, then repeat the process in each subsequent quarter.

I thought that was pretty neat. Generally I've thought of path-dependency as being related to various exotic options. But discrete dividends makes sense too.
#223
06-18-2017, 12:09 PM
 QuackingDucks94 SOA Join Date: May 2016 Studying for Exam C College: Rutgers University Favorite beer: Southern Tier Mokah Posts: 17

Does anyone expect there to be a lot of lookback options on this exam? I'm going through the problems and MAN are those some incredibly tedious and time-consuming calculations.
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#224
06-18-2017, 02:02 PM
 The Disreputable Dog Member CAS Join Date: Dec 2011 Studying for prelims College: Somersby School Favorite beer: Worldwide Stout Posts: 996

Quote:
 Originally Posted by ASM 16.2, pg. 295 Risk reversal is the difference between the implied volatilities of out-of-the-money calls and puts, each with the same absolute value of delta (typically 0.25). In other words, it is σcall - σput where the call has Δ = 0.25 and the put has Δ = -0.25.
I had a "?" written next to this in my manual, so of course it popped up on a practice test.
#225
06-18-2017, 05:12 PM
 Tetsuo Member SOA Join Date: Mar 2016 Posts: 330

Quote:
 Originally Posted by QuackingDucks94 Does anyone expect there to be a lot of lookback options on this exam? I'm going through the problems and MAN are those some incredibly tedious and time-consuming calculations.
im skipping look back and chooser unless i have extra time to remember the formulas for that. they're on the syllabus, but i'm expecting more of the other exotic options.
#226
06-18-2017, 11:50 PM
 tkt Member CAS SOA Join Date: Jun 2011 Location: Des Moines College: Drake University Posts: 514

Quote:
 Originally Posted by QuackingDucks94 Does anyone expect there to be a lot of lookback options on this exam? I'm going through the problems and MAN are those some incredibly tedious and time-consuming calculations.
We anticipate there would be at most 1 problem on this topic on the actual exam.
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#227
06-19-2017, 12:58 AM
 mistersunnyd Member SOA Join Date: Aug 2016 Studying for how to find a job Posts: 174

I recently reached level 7 on Adapt, and I've been seeing some weird ass questions on stuff I've never seen before in the ASM manual or on the syllabus. For example, I was asked earlier about discrete time models and rainbow options, both of which were new to me. Is this stuff actually on the test? Also, is there a more efficient way to study for the exam other than just spamming practice tests? Maybe quizzes on questions below a difficulty of 8?
#228
06-19-2017, 10:36 AM
 bjc2142 Member CAS Join Date: Aug 2014 Location: Boston Studying for Exam 9 Favorite beer: Asahi Draft Posts: 940

Halfway through reviewing with quizzes....will start PE sometime later this week. (Hopefully MFE will be my ACAS exam)
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#229
06-19-2017, 11:18 AM
 tkt Member CAS SOA Join Date: Jun 2011 Location: Des Moines College: Drake University Posts: 514

Quote:
 Originally Posted by mistersunnyd I recently reached level 7 on Adapt, and I've been seeing some weird ass questions on stuff I've never seen before in the ASM manual or on the syllabus. For example, I was asked earlier about discrete time models and rainbow options, both of which were new to me. Is this stuff actually on the test? Also, is there a more efficient way to study for the exam other than just spamming practice tests? Maybe quizzes on questions below a difficulty of 8?
Discrete time model is on the syllabus. For example, SOA sample question 39 tests that model.

You don't have to know the name of rainbow option. However, questions that require manipulating a payoff involving min/max function and calculating the price are still a fair game.
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#230
06-19-2017, 11:40 AM
 It's great to actuate CAS SOA Join Date: Mar 2017 College: Brigham Young University Alumnus Posts: 2

Quote:
 Originally Posted by bjb0016 how is everyone's studying coming along? we're less than a month away!! time to go super saiyan on the studying i failed with a 5 in march...was hoping to get this out of the way before the syllabus change, but oh well.
I just made it to EL 5.4 on adapt. I'm hoping to get up to at least 7 by the end of next week.

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