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#51
09-14-2007, 12:42 PM
 hamstrman Member SOA Join Date: May 2006 Location: Brooklyn, NY Favorite beer: The kind that isn't beer. You know that kind... Posts: 618

Quote:
 Originally Posted by EnSkywalker Obviously, the E and V are mixed up but I agree with the E(Y) (and it matches with the implied return of 0.084). This is perhaps a dumb question but why does the variance not agree witht the volatility listed in the exercise? The listed volatility is 0.18. Even with the square root it isn't 0.18. I agree your way is most likely correct but this is screwy none the less.
What do you mean E and V are mixed up?

Oh, and the 0.18 is calculated like this:

12 months * 0.05196^2 = 12 * .0027 = sigma squared.

Then SQRT (12 * .0027) = Annual volatility = 0.18.
#52
09-14-2007, 01:32 PM
 EnSkywalker Member SOA Join Date: Jan 2006 Location: Indiana Studying for FAC! Posts: 46

Sorry looked at them wrong. Used to E being first. Can you tell where my head is on a Friday.

Thanks for the help.
#53
09-18-2007, 02:49 PM
 amimal Member Join Date: Jan 2005 Posts: 49

has anyone received their graded paper (pass/fail) yet?. If so, how long did it take?

did it take the whole 7 weeks?

Thanks
#54
09-20-2007, 01:05 PM
 Jay0818 Member Join Date: Aug 2007 Posts: 31

Quote:
 Originally Posted by amimal has anyone received their graded paper (pass/fail) yet?. If so, how long did it take? did it take the whole 7 weeks? Thanks
It seems only self-graded and you can check it on Soa website.
#55
09-27-2007, 04:40 PM
 hamstrman Member SOA Join Date: May 2006 Location: Brooklyn, NY Favorite beer: The kind that isn't beer. You know that kind... Posts: 618

How is this supposed to be 5 pages at least? My Task 1 is 2.5 pages and there's no way I can write 2.5 pages for Task 2... I can hardly thing of anything to write let alone 2.5 pages.
#56
09-28-2007, 12:34 PM
 sweetie Member Join Date: Jan 2005 Posts: 216

Quote:
 Originally Posted by Constantinople Never mind. I solve it.

I have the same issue. How do you solve it?
#57
09-28-2007, 04:30 PM
 ReddEye Member SOA Join Date: Aug 2006 Location: Cubicle City, USA Favorite beer: real alcoholics don't drink beer Posts: 941

Quote:
 Originally Posted by Jay0818 It seems only self-graded and you can check it on Soa website.
Check what on the SOA website?
#58
10-01-2007, 04:36 PM
 JaneDoe Join Date: Oct 2007 Posts: 1

Quote:
 Originally Posted by balsampear I got -2.45 finally. correct one formula. hehe.
I got a PV(hedging error) -3.41 for the first path and an average of 57.05 on RSLN. I might have made the same error. Can you give me a hint??

You wrote 'I got the same initial cost 67.751, but my NPV is -3.41331, anyone have the same result as mine. btw, mean of the all 50 scenarios for RSLN model is over 57, which doesn't make sense to me. I must made a mistake somewhere, anyone any give me a hint?'

Last edited by JaneDoe; 10-01-2007 at 04:39 PM..
#59
10-03-2007, 10:16 AM
 hamstrman Member SOA Join Date: May 2006 Location: Brooklyn, NY Favorite beer: The kind that isn't beer. You know that kind... Posts: 618

Quote:
 Originally Posted by hamstrman How is this supposed to be 5 pages at least? My Task 1 is 2.5 pages and there's no way I can write 2.5 pages for Task 2... I can hardly thing of anything to write let alone 2.5 pages.
I take back what I said. At this point I have to make sure I don't run over 10 pages because of task 2. Also, do appendices count in the 10 page limit?
#60
10-04-2007, 09:54 AM
 hamstrman Member SOA Join Date: May 2006 Location: Brooklyn, NY Favorite beer: The kind that isn't beer. You know that kind... Posts: 618

Quote:
 Originally Posted by hw0799 after read the assingment, what I feel correct is: use fixed sigma , which is 0.18. as given in page 3 of task. we don't need the mu and sigma for any of the hedge error calculation actually...
This wasn't for calculating hedge error, it was for proving the equivalence of the two models be equating their parameters. I figured it out, thanks though.