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  #221  
Old 06-16-2017, 06:08 PM
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Originally Posted by ToBeAnActuaryOrNotToBe View Post
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  
Old 06-17-2017, 03:09 PM
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Originally Posted by 1994 View Post
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.
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  #223  
Old 06-18-2017, 12:09 PM
QuackingDucks94 QuackingDucks94 is offline
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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  
Old 06-18-2017, 02:02 PM
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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.
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  #225  
Old 06-18-2017, 05:12 PM
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Originally Posted by QuackingDucks94 View Post
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.
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  #226  
Old 06-18-2017, 11:50 PM
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Originally Posted by QuackingDucks94 View Post
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  
Old 06-19-2017, 12:58 AM
mistersunnyd mistersunnyd is offline
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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?
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  #228  
Old 06-19-2017, 10:36 AM
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Halfway through reviewing with quizzes....will start PE sometime later this week. (Hopefully MFE will be my ACAS exam)
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  #229  
Old 06-19-2017, 11:18 AM
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Originally Posted by mistersunnyd View Post
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  
Old 06-19-2017, 11:40 AM
It's great to actuate It's great to actuate is offline
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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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