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  #121  
Old 05-04-2017, 06:00 AM
kadsura kadsura is offline
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Originally Posted by R3d Anonymous View Post
Damn you're taking this after Exam 5? Why? lol
Didn't want to spend an actual sitting (May, Oct) on such a short exam.

I could be over extending myself and fail both though. Fingers crossed, haha.
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  #122  
Old 05-06-2017, 11:24 AM
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The Disreputable Dog The Disreputable Dog is offline
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Default ASM 17 - Missing Topic ?

What's the deal with Greeks for binomial trees? Chapter 17 in ASM starts out by saying it's going to break the material into the following parts:

Quote:
Originally Posted by ASM pg. 305
1. The overnight profit on a delta-hedged portfolio
2. The delta-gamma-theta approximation
3. Greeks for binomial trees
4. Rehedging
5. Hedging multiple Greeks.
(And ADAPT breaks section 10 into the same subjects in the same order.)

The body of the chapter has sections:

17.1 Overnight profit on a delta-hedged portfolio
17.2 The delta-gamma-theta approximation
17.3 Rehedging
17.4 Hedging multiple Greeks
17.5 What will I be tested on?

I can't find material on Greeks for binomial trees in this chapter in ASM - though I swear I've read something about it. Is anyone else seeing this topic somewhere?

EDIT: I tried generating questions in ADAPT exclusively for the subsection on Greeks for binomial trees, and it kept failing. Maybe this isn't on the syllabus any longer?
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  #123  
Old 05-08-2017, 10:19 AM
Levi Levi is offline
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Quote:
Originally Posted by The Disreputable Dog View Post
What's the deal with Greeks for binomial trees? Chapter 17 in ASM starts out by saying it's going to break the material into the following parts:


(And ADAPT breaks section 10 into the same subjects in the same order.)

The body of the chapter has sections:

17.1 Overnight profit on a delta-hedged portfolio
17.2 The delta-gamma-theta approximation
17.3 Rehedging
17.4 Hedging multiple Greeks
17.5 What will I be tested on?

I can't find material on Greeks for binomial trees in this chapter in ASM - though I swear I've read something about it. Is anyone else seeing this topic somewhere?

EDIT: I tried generating questions in ADAPT exclusively for the subsection on Greeks for binomial trees, and it kept failing. Maybe this isn't on the syllabus any longer?
Studying for MFE before the syllabus changes, this was always fringe material. The only Greek in binomial trees worth studying IMO is delta, and only insofar that it's part of the replicating portfolio. You'd be a lot better off practicing other material than trying to hunt this down.
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  #124  
Old 05-08-2017, 01:46 PM
DansGinger DansGinger is offline
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What chapter in the ASM manual is everyone on? I'm prolly gonna fail this exam...
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  #125  
Old 05-08-2017, 01:52 PM
StanlyGoodspeed StanlyGoodspeed is offline
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Does anybody have a summary of all syllabus changes? FM stuff is moving on, but is there a full list of things moving off?

I used adapt before and tried to map their previous formula sheet to the new syllabus. It looks like the following topics won't be tested? Can anyone confirm/ or add to the list?

Stochastic dif equations
Stochastic interest models
Utility based valuation
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  #126  
Old 05-08-2017, 01:53 PM
ToBeAnActuaryOrNotToBe ToBeAnActuaryOrNotToBe is offline
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Originally Posted by DansGinger View Post
What chapter in the ASM manual is everyone on? I'm prolly gonna fail this exam...
1. Haven't started studying yet. Been busy at work and other life stuff. I'm pretty scared right now.
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  #127  
Old 05-08-2017, 02:56 PM
DansGinger DansGinger is offline
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Originally Posted by ToBeAnActuaryOrNotToBe View Post
1. Haven't started studying yet. Been busy at work and other life stuff. I'm pretty scared right now.
well that makes me feel good . I've just been slacking off for the past month and only got through like 10 chapters.
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  #128  
Old 05-08-2017, 03:11 PM
ToBeAnActuaryOrNotToBe ToBeAnActuaryOrNotToBe is offline
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Originally Posted by DansGinger View Post
well that makes me feel good . I've just been slacking off for the past month and only got through like 10 chapters.
We just finished busy season at work, and I just came back from vacation. I'm planning on trying to finish the ASM manual within the month then spend the last month doing ADAPT. Haven't registered for the exam yet... so I'm not 100% committed.
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  #129  
Old 05-08-2017, 07:37 PM
bravesandfalcons bravesandfalcons is offline
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Quote:
Originally Posted by The Disreputable Dog View Post
What's the deal with Greeks for binomial trees? Chapter 17 in ASM starts out by saying it's going to break the material into the following parts:


(And ADAPT breaks section 10 into the same subjects in the same order.)

The body of the chapter has sections:

17.1 Overnight profit on a delta-hedged portfolio
17.2 The delta-gamma-theta approximation
17.3 Rehedging
17.4 Hedging multiple Greeks
17.5 What will I be tested on?

I can't find material on Greeks for binomial trees in this chapter in ASM - though I swear I've read something about it. Is anyone else seeing this topic somewhere?

EDIT: I tried generating questions in ADAPT exclusively for the subsection on Greeks for binomial trees, and it kept failing. Maybe this isn't on the syllabus any longer?
I believe that this topic (along with utility) was not carried over for the syllabus change. Even if the syllabus were the same, I would tell you not to spend too much time studying this. You already learn delta, and gamma's formula is pretty similar. Spend your time on other things.
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  #130  
Old 05-08-2017, 08:31 PM
kadsura kadsura is offline
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Quote:
Originally Posted by DansGinger View Post
well that makes me feel good . I've just been slacking off for the past month and only got through like 10 chapters.
10 chapters? I just barely started, and I'm 100% committed.
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