Actuarial Outpost
 
Go Back   Actuarial Outpost > Exams - Please Limit Discussion to Exam-Related Topics > SoA/CAS Preliminary Exams > Financial Mathematics
FlashChat Actuarial Discussion Preliminary Exams CAS/SOA Exams Cyberchat Around the World Suggestions

DW Simpson International Actuarial Jobs
Canada  Asia  Australia  Bermuda  Latin America  Europe


Financial Mathematics Old FM Forum

Reply
 
Thread Tools Search this Thread Display Modes
  #71  
Old 10-09-2013, 09:34 AM
saigontrade88 saigontrade88 is offline
SOA
 
Join Date: Oct 2013
Posts: 7
Default

I just passed the Oct-13 exam. Thanks Durlov for the supporting material. They are extremely helpful.
Reply With Quote
  #72  
Old 12-16-2013, 09:19 AM
Gazat's Avatar
Gazat Gazat is offline
Member
CAS
 
Join Date: May 2013
Studying for nothing!
Posts: 954
Default

Thought I'd share my formula summary here. For the LaTeX geeks, I've also added the .tex code in .txt form.
Attached Images
File Type: pdf FM.pdf (184.0 KB, 6306 views)
Attached Files
File Type: txt FM.txt (12.7 KB, 677 views)
__________________
Quote:
Originally Posted by Flying J View Post
Sometimes, if I sit next to an attractive woman on public transportation, I pretend she's my gf, but she's not talking to me because we got in a fight.
Reply With Quote
  #73  
Old 01-28-2016, 04:50 PM
kmakino51 kmakino51 is offline
CAS
 
Join Date: Jun 2015
Studying for MAS-1
College: Purdue University
Favorite beer: Milky
Posts: 21
Default

Quote:
Originally Posted by thinhnham2806 View Post
what do you think about the derivative market questions? were they easy?
If you know your stuff, you should be fine.
They are pretty easy.
__________________
P FM MFE C MAS-1
Reply With Quote
  #74  
Old 08-22-2019, 11:29 AM
campbellkord campbellkord is offline
SOA
 
Join Date: Jun 2019
Studying for FM
College: The University of the West Indies, Mona
Posts: 1
Default

I've found the formulae here to be almost sufficient for the Aug 2019 exam and just want to add a few here.

Interest Rate Swaps:

General:
PV(Interest without the swap) =PV(Interest with the swap)

Level notional Amount Fixed (Swap) Rate =

(P(t-1) - P(n)) / (P(t) + P(t+1) + … + P(n))

Where P(t) = Price of a zero coupon bond maturing for $1 in t years which = (1+spot rate for t year investment)^ t
Note if swap begins in year 1 (not deferred) then P(t-1) = P(0) = 1

McCaulay Price Change approximation (2nd order)

Approximation for price of asset at interest rate i, P(i) around a specific i = i(0), McCaulay Duration D and McCaulay Convexity C

P(i) ~= P( i(0) )* ( (1+i(0))/(1+i) )^D * (1 + ( (i - i(0))/ (1 +i(0)) )^2 * (C - D^2)/2 )

1st Order:
P(i) ~= P( i(0) )* ( (1+i(0))/(1+i) )^D

Last edited by campbellkord; 08-22-2019 at 11:31 AM.. Reason: Correction and change in notation
Reply With Quote
Reply

Thread Tools Search this Thread
Search this Thread:

Advanced Search
Display Modes

Posting Rules
You may not post new threads
You may not post replies
You may not post attachments
You may not edit your posts

BB code is On
Smilies are On
[IMG] code is On
HTML code is Off


All times are GMT -4. The time now is 07:26 PM.


Powered by vBulletin®
Copyright ©2000 - 2019, 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 0.18042 seconds with 12 queries