Actuarial Outpost Done with the exam? Share your Exam 2/FM study notes here!
 Register Blogs Wiki FAQ Calendar Search Today's Posts Mark Forums Read
 FlashChat Actuarial Discussion Preliminary Exams CAS/SOA Exams Cyberchat Around the World Suggestions

 Not looking for a job? Tell us about your ideal job, and we'll only contact you when it opens up. https://www.dwsimpson.com/register

 Financial Mathematics Old FM Forum

#41
07-27-2009, 03:39 PM
 Spice Member Join Date: Jun 2009 Posts: 79

35. Five of them are not counted towards your score. You don't know which ones the pilot questions are.
#42
07-27-2009, 06:36 PM
 Actuarialsuck Member Join Date: Sep 2007 Posts: 6,131

Quote:
 Originally Posted by Noumenon84 To recap: P - short sell price B - buyback price M - margin deposited = k% of P D - amount of Dividend (if need be accumulate to end of year) k - percent of P deposited as margin j - interest rate (used to calculate interest on M and D) $yield =$$[1+(j)(k)]P - (B+D)$ divided by $M$ *I'm going to work on getting this into tex.
To do "divide" by use the \frac command i.e. \frac{1}{2} will give you $\frac{1}{2}$.
__________________
Quote:
 Originally Posted by Buru Buru i'm not. i do not troll.
#43
08-06-2009, 10:57 AM
 firefeather SOA Join Date: Jul 2009 Studying for Exam M (LC? FE? *shrug*) College: Brigham Young University Alumni Posts: 11

Quote:
 Originally Posted by (/iropracy These are the notes I got together for my university's actuarial club I started this last year. Enjoy!
(/iropracy, great stuff, thanks for sharing! (The notation is especially appreciated, since it's pretty much the notation I use.) I have a few suggestions:
1. The increasing annuity $(Ia)^{(m)}_{\overline{n|} i}$ should be described as "m payments of $\frac{1}{m}$, m payments of $\frac{2}{m}$, ..., m payments of $\frac{n}{m}$" (or more compactly), since as it stands it seems to be increasing m-thly.
2. You might similarly label a reminder that m-thly annuities pay the amount $\frac{1}{m}$ m-thly
3. The formula on the last page is a duplicate of the bond valuation formula under spot rates, I wasn't sure if that was intentional.

Thanks again!

Last edited by firefeather; 08-07-2009 at 02:44 PM.. Reason: Clarifying point #1's wording.
#44
02-16-2010, 09:18 PM
 aaye Member Join Date: Mar 2009 Posts: 180

Since there seems to be a lack on derivatives markets notes on this forum, I am uploading some notes I made for myself. It definitely does not cover everything on the DM portion of the syllabus, but it contains the different types of option and spreads, as well as some other topics.

I used a combination of the ASM manual and McDonald's Derivatives Markets textbook to compose these notes. Graph images were taken from Marcel Finan's free online FM/2 textbook (found here: http://www.atu.edu/mathematics/finan...hall/mainf.pdf)

They are certainly not perfect and I am happy to correct any and all errors. Just PM me and tell me what is wrong with them.

Also, I apologize that the graph images in the PDF file did not convert so nicely from Word, but the Word document was too big to attach.

Best of luck to all future exam-takers!
Attached Images
 Derivative Markets.pdf (682.4 KB, 7160 views)

Last edited by aaye; 02-16-2010 at 09:22 PM..
#45
05-26-2010, 11:52 AM
 Ammar Husyn Join Date: May 2010 Posts: 20

@aaye
thanks allot it really helpd me ..but i didnt clear ..
#46
01-25-2011, 12:39 AM
 SFbayDreaming Member Non-Actuary Join Date: Dec 2009 Studying for MFE Exam College: Vanderbilt Univ Posts: 294

Here's some information on using the TI BA II Plus calculator that may be useful.
#47
05-26-2011, 12:10 PM
 TheMJ Note Contributor SOA Join Date: Nov 2010 Studying for MFE Posts: 512 Blog Entries: 1
Summary Sheet

Hi all,

Here is the summary sheet I'm using for this current (June 2011) sitting. Hope it helps, and let me know if you can spot any mistake.

Cheers

ETA1: This is based on TIA seminar.
ETA2: The sheet has been updated to inculde an additional forumla (duration of a geometrically increasing perpetuity) and have also added a non-comprehensive summary of DM.
Attached Images
 Exam FM Summary Sheet.pdf (107.5 KB, 4391 views) DM Summary.pdf (215.2 KB, 4730 views)
__________________
TheMJ, formerly known as CERA-SEEKER

P FM MFE MLC C
VEEs: Economics App. Statistics Corporate Finance

Last edited by TheMJ; 06-11-2011 at 03:44 AM..
#48
06-07-2011, 04:25 PM
 oswaldcobblepot Member SOA Join Date: Nov 2009 Location: Maryland Posts: 363

TheMJ:

Thanks for posting your study notes; it's nice to see how others organize the information as well as a good way to figure out some areas I'm rusty in. With that being said, I believe I found a small (but significant) error in your summary sheets.

DM Summary, XIII, Pricing a prepaid forward contract

When you're talking about continuously paid dividends, I believe you omitted a negative sign and your formula should be:

S e^-delta(t)

(I apologize but I don't know how to make things look pretty in these posts)

Given that your prepaid forward payment is made at t = 0, you should be discounting this back. In the next part about pricing a forward contract you mention this being the FV of a prepaid contract (this would be accomplished by multiplying by S e^rt), which is: S e^(r-delta)t.

Anyways, thanks for posting this and best of luck on the exam (I'm taking mine on the 15th, so I'll have plenty of time to sit and squirm as I read that others have passed in the days leading up to my sitting).
#49
06-11-2011, 03:43 AM
 TheMJ Note Contributor SOA Join Date: Nov 2010 Studying for MFE Posts: 512 Blog Entries: 1

Quote:
 Originally Posted by oswaldcobblepot TheMJ: Thanks for posting your study notes; it's nice to see how others organize the information as well as a good way to figure out some areas I'm rusty in. With that being said, I believe I found a small (but significant) error in your summary sheets. DM Summary, XIII, Pricing a prepaid forward contract When you're talking about continuously paid dividends, I believe you omitted a negative sign and your formula should be: S e^-delta(t) (I apologize but I don't know how to make things look pretty in these posts) Given that your prepaid forward payment is made at t = 0, you should be discounting this back. In the next part about pricing a forward contract you mention this being the FV of a prepaid contract (this would be accomplished by multiplying by S e^rt), which is: S e^(r-delta)t. Anyways, thanks for posting this and best of luck on the exam (I'm taking mine on the 15th, so I'll have plenty of time to sit and squirm as I read that others have passed in the days leading up to my sitting).
Thank you so much oswald, I've fixed this.
__________________
TheMJ, formerly known as CERA-SEEKER

P FM MFE MLC C
VEEs: Economics App. Statistics Corporate Finance
#50
08-10-2011, 03:13 AM
 maxwell's demon Member SOA Join Date: Aug 2011 Posts: 71

thanks!
__________________
FSA (QFI), CFA I