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  #31  
Old 09-06-2006, 03:21 PM
Carol Carol is offline
 
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Quote:
Originally Posted by krzysio View Post
It is posted at:
http://www.math.ilstu.edu/krzysio/KO-FM-Exercise68.pdf

Yours,
Krzys' Ostaszewski
Is the M-squre included in the syllabus?
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  #32  
Old 09-06-2006, 04:37 PM
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http://en.wikipedia.org/wiki/M_squared

I hope not

Seriously though, I don't recall seeing this in ASM or the 2 textbooks... so I'm guessing it's not on the exam. That, and it is an old exam 8 question, so...

However, if, in the problem, they gave us that M^2=C-D^2, I would think that this would be an acceptable exam problem, all the components are on the syllabus.
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  #33  
Old 09-09-2006, 12:44 AM
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krzysio krzysio is offline
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Default M-square

Quote:
Originally Posted by Carol View Post
Quote:
Originally Posted by krzysio View Post
It is posted at:
http://www.math.ilstu.edu/krzysio/KO-FM-Exercise68.pdf

Yours,
Krzys' Ostaszewski
Is the M-squre included in the syllabus?
It is right on the edge of what can be on the syllabus. Probably not. But it is equal to convexity minus duration squared, so you could get a question about that. This is why I think it is good for you to do this exercise. I cover M-square in the manual I wrote and in the review seminar I teach.

The problem we are talking about had a calculation error. I have now posted a corrected solution.

Yours,
Krzys' Ostaszewski
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Last edited by krzysio; 09-23-2006 at 01:11 PM.. Reason: Correction
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  #34  
Old 09-09-2006, 12:45 AM
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krzysio krzysio is offline
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Default Exercise for September 9, 2006

It is posted at:
http://www.math.ilstu.edu/krzysio/KO-FM-Exercise69.pdf

Yours,
Krzys' Ostaszewski
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  #35  
Old 09-14-2006, 09:35 PM
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Default Exercise for September 16, 2006

It is posted at:
http://www.math.ilstu.edu/krzysio/KO-FM-Exercise70.pdf

Yours,
Krzys' Ostaszewski
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  #36  
Old 09-23-2006, 01:09 PM
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Default Exercise for September 23, 2006

It is posted at:
http://www.math.ilstu.edu/krzysio/KO-FM-Exercise71.pdf

Yours,
Krzys' Ostaszewski

P.S. Illinois State University (ISU) exam FM review seminar starts in exactly two weeks. It is a two day seminar, held on campus of ISU. More information at: www.math.ilstu.edu/actuary/prepcourses.html.
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  #37  
Old 09-29-2006, 09:11 PM
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Default Exercise for September 30, 2006

It is posted at:
http://www.math.ilstu.edu/krzysio/KO-FM-Exercise72.pdf

Yours,
Krzys' Ostaszewski

P.S. Illinois State University (ISU) exam FM review seminar starts in exactly one week. It is a two day seminar, held on campus of ISU. More information at: www.math.ilstu.edu/actuary/prepcourses.html.
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  #38  
Old 10-06-2006, 09:56 PM
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Default Exercise for October 7, 2006

It is posted at:
http://www.math.ilstu.edu/krzysio/KO-FM-Exercise73.pdf

Yours,
Krzys' Ostaszewski
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  #39  
Old 10-10-2006, 09:47 PM
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Default Corrections

I needed to correct some things in Exercises 57, 60 and 63. Please find the corrected versions at:
http://www.math.ilstu.edu/krzysio/KO-FM-Exercise57.pdf
http://www.math.ilstu.edu/krzysio/KO-FM-Exercise60.pdf
http://www.math.ilstu.edu/krzysio/KO-FM-Exercise63.pdf

Yours,
Krzys' Ostaszewski
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  #40  
Old 10-10-2006, 09:54 PM
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Thanks, Krzys'!
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