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Investment / Financial Markets Old Exam MFE Forum 

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#31




I uploaded my 2nd draft with key updates in the Brownian Motion sections, the Equations Appendix and a new subsection on Lease Rates and Claims under the last section, Exotic Options.

#32




Using your calculator to estimate volatility
ASM discusses finding the estimated volatility based on the sample standard deviation. It's good to know where the formulas come from but on an exam I'd rather leave the heavy lifting to my calculator because it saves a ton of time. Here's how to do it on the TI30XIIS and the TI30XS. I would assume you could get similar results from the TIBAII+, but I haven't tried to use my BAII+ for anything other than TVM in a while.
TI30XIIS: [2nd][STAT]>[1Var] [DATA] X1=ln(S1/S0) ... Xn1=ln(Sn/Sn1) [STATVAR]>[Sx] TI30XS: [data]>[L1] (or whichever list you prefer) L1(1)=ln(S1/S0) ... L1(n1)=ln(Sn/Sn1) [2nd][stat]>[1Var Stats] DATA: [L1] FRQ: [ONE] [CALC]>[Sx] Annualized volatility is Sx*√units per year (365 for daily observations, 52 for weekly observations, 12 for monthly observations, etc) If they ask an annualized volatility question based on observed data you can have an answer in no time.
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Exam FM Formula Summary (covers theory of interest formulas from the pre2007 FM exam). 
#33




Here are my notes for this session for what they are worth. "This session" is Fall 08 for potential future exam takers who make look at this  in case there are syllabus changes.
I left them in Word format so people can modify them to fit their needs, and fill in things they feel are missing. Due to my extensive use of the Word equation editor, I needed to split my formula reference into two files because of AO file size restrictions. One note, while the McDonald text often uses C as a generic option descriptor in formulas, like the binomial tree formula for the value of at a node, I followed the convention of the manual that I used this sitting and use a V for option Value. That made sense to me, and avoids some potential confusion and "does this also apply for a put" questions, but is different than what the text and ASM use. If you see anything else, let me know. I hope to not be taking MFE again, but like everyone else, I won't know for sure until January.
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"I love numbers... God help me, I love 'em"  Norm Peterson on Cheers 
#35




Study Notes
You can visit my website. I am posting my study notes and solutions.
http://actuarialexams.synthasite.com/ Here`s a samples 
#36




Quote:
on the binomial pricing for the Jarrow/Rudd (or lognormal) alternative you have Shouldn't it be Then the same applies to the d value (only the sigma root h instead of plus) 
#37




That would be a typo. I took a look at my latest edition (Draft 3  10/29/08) and that error is not there.
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Exams How to explain actuarial exams to someone else... Good Einstein quote  "One had to cram all this stuff into one's mind for the examinations, whether one liked it or not. This coercion had such a deterring effect on me that, after I had passed the final examination, I found the consideration of any scientific problems distasteful to me for an entire year." 
#38




alright. I assumed it was a type but just wanted to make sure that it got corrected.

#39




Quote:

#40




Quote:
I thought the latest was the 2nd edition? ... Post #31 (10252008) Can you post up the 3rd? 
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