Actuarial Outpost JULY 2017 MFE Exam
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 Investment / Financial Markets Old Exam MFE Forum

#261
06-24-2017, 07:33 PM
 iridocyclitis Member SOA Join Date: May 2017 Posts: 149

Anyone here only using the ASM manual? How do you think the SOA released questions are comparatively?
#262
06-24-2017, 07:34 PM
 iridocyclitis Member SOA Join Date: May 2017 Posts: 149

Some problems look so random... like number 9: Consider the Black-Scholes framework. A market-maker, who delta-hedges, sells a
three-month at-the-money European call option on a nondividend-paying stock.
You are given:
(i) The continuously compounded risk-free interest rate is 10%.
(ii) The current stock price is 50.
(iii) The current call option delta is 0.61791.
(iv) There are 365 days in the year.
If, after one day, the market-maker has zero profit or loss, determine the stock price
move over the day.

I didnt understnad how to do this without knowing how many days to assume per month.
#263
06-24-2017, 08:15 PM
 kluntaf Member CAS SOA Join Date: Mar 2017 College: UIUC grad student Posts: 48

Quote:
 Originally Posted by iridocyclitis Some problems look so random... like number 9: Consider the Black-Scholes framework. A market-maker, who delta-hedges, sells a three-month at-the-money European call option on a nondividend-paying stock. You are given: (i) The continuously compounded risk-free interest rate is 10%. (ii) The current stock price is 50. (iii) The current call option delta is 0.61791. (iv) There are 365 days in the year. If, after one day, the market-maker has zero profit or loss, determine the stock price move over the day. I didnt understnad how to do this without knowing how many days to assume per month.
What I learned from the solution is, whenever the exam question says a delta-hedger has zero profit/loss, the stock price must have moved by one standard deviation.

In this question, what you need is to figure out $\sigma$, and then calculate S_0 e^sigma*sqrt{h}, where h = 1/365.
#264
06-26-2017, 03:15 AM
 Tetsuo Member SOA Join Date: Mar 2016 Posts: 330

Quote:
 Originally Posted by ToBeAnActuaryOrNotToBe I think that this exam will be relatively easy. Introductory Derivatives and General Options make up 35%-45% of the test.
i'm looking at the syllabus and i think the ADAPT problems i've been doing have been way too hard. ex: i'm doing problems with Asian options that involve Monte Carlo even though the part that mentions asian options is under the General Properties of Options, and it doesn't sound like any of that would involve Black Scholes and such
#265
06-26-2017, 10:21 AM
 The Disreputable Dog Member CAS Join Date: Dec 2011 Studying for prelims College: Somersby School Favorite beer: Worldwide Stout Posts: 891

11 days!
#266
06-26-2017, 11:29 AM
 Art_Vandelay Member SOA Join Date: Oct 2013 Location: Birmingham, USA College: AU Favorite beer: bankston 88 Posts: 187

__________________
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#267
06-26-2017, 11:32 AM
 ToBeAnActuaryOrNotToBe Member SOA Join Date: May 2014 Favorite beer: The ones in red solo cups. Posts: 672

Quote:
 Originally Posted by bjb0016 i think the worst part about this exam will be waiting 8 weeks for results
Yeah...

I'm just hoping that I either feel super confident after taking the exam or feel the complete opposite. Don't want to risk being somewhere in between. Want to know whether to restudy for the November 2017 MFE sitting or study for my next exam.
#268
06-26-2017, 01:21 PM
 Art_Vandelay Member SOA Join Date: Oct 2013 Location: Birmingham, USA College: AU Favorite beer: bankston 88 Posts: 187

Quote:
 Originally Posted by ToBeAnActuaryOrNotToBe Yeah... I'm just hoping that I either feel super confident after taking the exam or feel the complete opposite. Don't want to risk being somewhere in between. Want to know whether to restudy for the November 2017 MFE sitting or study for my next exam.
I usually list all the question #s out before starting the exam, and as I'm going through I check them off if I know I got the correct answer. It'll be more useful than ever this time around
__________________
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#269
06-26-2017, 02:09 PM
 sarat.muppana SOA Join Date: May 2015 College: Georgia State University Posts: 15
Results

Hi, Don't we get the results immediately after taking the CBT test ?

Quote:
 Originally Posted by bjb0016 i think the worst part about this exam will be waiting 8 weeks for results
#270
06-26-2017, 03:17 PM
 jooni Member CAS Join Date: Jan 2017 Posts: 85

Quote:
 Originally Posted by sarat.muppana Hi, Don't we get the results immediately after taking the CBT test ?
For this sitting, no. According to the syllabus, it may not be that way for the next few, as well.

https://www.soa.org/Files/Edu/2017/e...e-syllabus.pdf

Quote:
 Because of the changed nature of this exam, results will no longer be instantaneous (at least for the next few sessions) since post-exam analysis will be required by the examination committee. Instead, results will be released on the SOA website about 8 weeks after each testing window ends.

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