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 Financial Mathematics Old FM Forum

#71
10-09-2013, 09:34 AM
 saigontrade88 SOA Join Date: Oct 2013 Posts: 7

I just passed the Oct-13 exam. Thanks Durlov for the supporting material. They are extremely helpful.
#72
12-16-2013, 09:19 AM
 Gazat Member CAS Join Date: May 2013 Studying for nothing! Posts: 954

Thought I'd share my formula summary here. For the LaTeX geeks, I've also added the .tex code in .txt form.
Attached Images
 FM.pdf (184.0 KB, 6306 views)
Attached Files
 FM.txt (12.7 KB, 677 views)
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#73
01-28-2016, 04:50 PM
 kmakino51 CAS Join Date: Jun 2015 Studying for MAS-1 College: Purdue University Favorite beer: Milky Posts: 21

Quote:
 Originally Posted by thinhnham2806 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.
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P FM MFE C MAS-1
#74
08-22-2019, 11:29 AM
 campbellkord SOA Join Date: Jun 2019 Studying for FM College: The University of the West Indies, Mona Posts: 1

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