Actuarial Outpost
 
Go Back   Actuarial Outpost > Exams - Please Limit Discussion to Exam-Related Topics > SoA/CAS Preliminary Exams > Investment / Financial Markets
FlashChat Actuarial Discussion Preliminary Exams CAS/SOA Exams Cyberchat Around the World Suggestions

DW Simpson International Actuarial Jobs
Canada  Asia  Australia  Bermuda  Latin America  Europe


Investment / Financial Markets Old Exam MFE Forum

Reply
 
Thread Tools Search this Thread Display Modes
  #11  
Old 08-05-2012, 01:28 PM
jaws274's Avatar
jaws274 jaws274 is offline
Member
CAS SOA
 
Join Date: May 2009
Location: Manhattan
Studying for 4/C Feb, MLC May
College: UCSD Alumni
Favorite beer: micro-brew
Posts: 101
Default

Quote:
Originally Posted by JayZ2012 View Post
Cov[s(t),s(u)] = [s(0)]^2exp[(t+u)*(alpha-delta)]*(exp[min(t,u)*sigma^2]-1).

That should clear things up.
oh rly? i wasnt aware that it was the minimum. I guess i must have been listing the lower time first by habit because i was getting all of those right.
__________________

P FM MFE C MLC
Reply With Quote
  #12  
Old 08-05-2012, 01:36 PM
Actuarialsuck Actuarialsuck is offline
Member
 
Join Date: Sep 2007
Posts: 6,147
Default

Quote:
Originally Posted by jaws274 View Post
oh rly? i wasnt aware that it was the minimum. I guess i must have been listing the lower time first by habit because i was getting all of those right.
Well you are told the formula is for T > t, you can remove that condition by instituting a minimum function.
__________________
Quote:
Originally Posted by Buru Buru View Post
i'm not. i do not troll.
Reply With Quote
  #13  
Old 08-05-2012, 10:44 PM
drsingh drsingh is offline
Member
CAS SOA
 
Join Date: Jul 2012
Posts: 453
Default

Quote:
Originally Posted by Actuarialsuck View Post
What do you mean? It's just prices of the same stock at 2 different points in time.
Quote:
Originally Posted by JayZ2012 View Post
Cov[s(t),s(u)] = [s(0)]^2exp[(t+u)*(alpha-delta)]*(exp[min(t,u)*sigma^2]-1).

That should clear things up.
I take the exam tomorrow, and I had told myself, a while ago, that the last day before the exam, I would do nothing but read non-technical books. I started on Anthony Bourdain's "A Cook's Tour" (for perfect meal around the world, and, for some curious reason, I finished with his adventure in eating lamb gonad in the Sahara deset, with Tuareg Berbers in blue clothes, roasting the lamb in whole. He describes it as absolutely heavenly.

Took a break, refreshed this page, and saw your reply. Somehow it all seems connected

Last edited by drsingh; 08-05-2012 at 11:10 PM..
Reply With Quote
  #14  
Old 08-05-2012, 11:02 PM
Actuarialsuck Actuarialsuck is offline
Member
 
Join Date: Sep 2007
Posts: 6,147
Default

Quote:
Originally Posted by drsingh View Post
I take the exam tomorrow, and I had told myself, a while ago, that the last day before the exam, I would do nothing but read non-technical books. I started on Anthony Bourdain's "A Cook's Tour" (for perfect meal around the world, and, for some curious reason, I finished with his adventure in eating lamb gonad in the Sahara deset, with Tuareg Berbers in blue clothes, roasting the lamp in whole. He describes it as absolutely heavenly.

Took a break, refreshed this page, and saw your reply. Somehow it all seems connected
I may trust you to do MFE for me in the future, but not to cook .

Good luck on your exam.
__________________
Quote:
Originally Posted by Buru Buru View Post
i'm not. i do not troll.
Reply With Quote
  #15  
Old 08-05-2012, 11:10 PM
drsingh drsingh is offline
Member
CAS SOA
 
Join Date: Jul 2012
Posts: 453
Default

Quote:
Originally Posted by Actuarialsuck View Post
I may trust you to do MFE for me in the future, but not to cook .

Good luck on your exam.
That was supposed to be lamb, not lamp. Corrected above.
Reply With Quote
  #16  
Old 08-05-2012, 11:32 PM
TheShark TheShark is offline
Member
SOA
 
Join Date: Dec 2010
Location: NYC
College: Senior at a CAE
Posts: 2,086
Default

Quote:
Originally Posted by AAABBBCCC View Post
you never had honey roasted lamp before? It is an illuminating experience.
And here I was thinking you were gonna prove the covariance of S(t) and S(T)...
Reply With Quote
  #17  
Old 08-06-2012, 12:31 AM
jaws274's Avatar
jaws274 jaws274 is offline
Member
CAS SOA
 
Join Date: May 2009
Location: Manhattan
Studying for 4/C Feb, MLC May
College: UCSD Alumni
Favorite beer: micro-brew
Posts: 101
Default

i love lamp
__________________

P FM MFE C MLC
Reply With Quote
Reply

Thread Tools Search this Thread
Search this Thread:

Advanced Search
Display Modes

Posting Rules
You may not post new threads
You may not post replies
You may not post attachments
You may not edit your posts

BB code is On
Smilies are On
[IMG] code is On
HTML code is Off


All times are GMT -4. The time now is 01:32 AM.


Powered by vBulletin®
Copyright ©2000 - 2019, Jelsoft Enterprises Ltd.
*PLEASE NOTE: Posts are not checked for accuracy, and do not
represent the views of the Actuarial Outpost or its sponsors.
Page generated in 0.37460 seconds with 9 queries