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  #41  
Old 07-27-2009, 03:39 PM
Spice Spice is offline
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35. Five of them are not counted towards your score. You don't know which ones the pilot questions are.
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  #42  
Old 07-27-2009, 06:36 PM
Actuarialsuck Actuarialsuck is offline
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Quote:
Originally Posted by Noumenon84 View Post
To recap:
P - short sell price
B - buyback price
M - margin deposited = k% of P
D - amount of Dividend (if need be accumulate to end of year)
k - percent of P deposited as margin
j - interest rate (used to calculate interest on M and D)

divided by



*I'm going to work on getting this into tex.
To do "divide" by use the \frac command i.e. \frac{1}{2} will give you .
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  #43  
Old 08-06-2009, 10:57 AM
firefeather firefeather is offline
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Quote:
Originally Posted by (/iropracy View Post
These are the notes I got together for my university's actuarial club I started this last year. Enjoy!
(/iropracy, great stuff, thanks for sharing! (The notation is especially appreciated, since it's pretty much the notation I use.) I have a few suggestions:
  1. The increasing annuity should be described as "m payments of , m payments of , ..., m payments of " (or more compactly), since as it stands it seems to be increasing m-thly.
  2. You might similarly label a reminder that m-thly annuities pay the amount m-thly
  3. The formula on the last page is a duplicate of the bond valuation formula under spot rates, I wasn't sure if that was intentional.

Thanks again!

Last edited by firefeather; 08-07-2009 at 02:44 PM.. Reason: Clarifying point #1's wording.
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  #44  
Old 02-16-2010, 09:18 PM
aaye aaye is offline
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Since there seems to be a lack on derivatives markets notes on this forum, I am uploading some notes I made for myself. It definitely does not cover everything on the DM portion of the syllabus, but it contains the different types of option and spreads, as well as some other topics.

I used a combination of the ASM manual and McDonald's Derivatives Markets textbook to compose these notes. Graph images were taken from Marcel Finan's free online FM/2 textbook (found here: http://www.atu.edu/mathematics/finan...hall/mainf.pdf)

They are certainly not perfect and I am happy to correct any and all errors. Just PM me and tell me what is wrong with them.

Also, I apologize that the graph images in the PDF file did not convert so nicely from Word, but the Word document was too big to attach.

Best of luck to all future exam-takers!
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File Type: pdf Derivative Markets.pdf (682.4 KB, 6971 views)

Last edited by aaye; 02-16-2010 at 09:22 PM..
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  #45  
Old 05-26-2010, 11:52 AM
Ammar Husyn Ammar Husyn is offline
 
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@aaye
thanks allot it really helpd me ..but i didnt clear ..
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  #46  
Old 01-25-2011, 12:39 AM
SFbayDreaming SFbayDreaming is offline
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Here's some information on using the TI BA II Plus calculator that may be useful.
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  #47  
Old 05-26-2011, 12:10 PM
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TheMJ TheMJ is offline
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Default Summary Sheet

Hi all,

Here is the summary sheet I'm using for this current (June 2011) sitting. Hope it helps, and let me know if you can spot any mistake.

Cheers

ETA1: This is based on TIA seminar.
ETA2: The sheet has been updated to inculde an additional forumla (duration of a geometrically increasing perpetuity) and have also added a non-comprehensive summary of DM.
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File Type: pdf Exam FM Summary Sheet.pdf (107.5 KB, 4308 views)
File Type: pdf DM Summary.pdf (215.2 KB, 4650 views)
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Last edited by TheMJ; 06-11-2011 at 03:44 AM..
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  #48  
Old 06-07-2011, 04:25 PM
oswaldcobblepot oswaldcobblepot is offline
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TheMJ:

Thanks for posting your study notes; it's nice to see how others organize the information as well as a good way to figure out some areas I'm rusty in. With that being said, I believe I found a small (but significant) error in your summary sheets.

DM Summary, XIII, Pricing a prepaid forward contract

When you're talking about continuously paid dividends, I believe you omitted a negative sign and your formula should be:

S e^-delta(t)

(I apologize but I don't know how to make things look pretty in these posts)

Given that your prepaid forward payment is made at t = 0, you should be discounting this back. In the next part about pricing a forward contract you mention this being the FV of a prepaid contract (this would be accomplished by multiplying by S e^rt), which is: S e^(r-delta)t.

Anyways, thanks for posting this and best of luck on the exam (I'm taking mine on the 15th, so I'll have plenty of time to sit and squirm as I read that others have passed in the days leading up to my sitting).
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  #49  
Old 06-11-2011, 03:43 AM
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TheMJ TheMJ is offline
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Quote:
Originally Posted by oswaldcobblepot View Post
TheMJ:

Thanks for posting your study notes; it's nice to see how others organize the information as well as a good way to figure out some areas I'm rusty in. With that being said, I believe I found a small (but significant) error in your summary sheets.

DM Summary, XIII, Pricing a prepaid forward contract

When you're talking about continuously paid dividends, I believe you omitted a negative sign and your formula should be:

S e^-delta(t)

(I apologize but I don't know how to make things look pretty in these posts)

Given that your prepaid forward payment is made at t = 0, you should be discounting this back. In the next part about pricing a forward contract you mention this being the FV of a prepaid contract (this would be accomplished by multiplying by S e^rt), which is: S e^(r-delta)t.

Anyways, thanks for posting this and best of luck on the exam (I'm taking mine on the 15th, so I'll have plenty of time to sit and squirm as I read that others have passed in the days leading up to my sitting).
Thank you so much oswald, I've fixed this.
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  #50  
Old 08-10-2011, 03:13 AM
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maxwell's demon maxwell's demon is offline
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thanks!
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