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Investment / Financial Markets Old Exam MFE Forum

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  #261  
Old 06-24-2017, 07:33 PM
iridocyclitis iridocyclitis is offline
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Anyone here only using the ASM manual? How do you think the SOA released questions are comparatively?
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  #262  
Old 06-24-2017, 07:34 PM
iridocyclitis iridocyclitis is offline
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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.
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  #263  
Old 06-24-2017, 08:15 PM
kluntaf kluntaf is offline
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Quote:
Originally Posted by iridocyclitis View Post
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.
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  #264  
Old 06-26-2017, 03:15 AM
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Quote:
Originally Posted by ToBeAnActuaryOrNotToBe View Post
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
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  #265  
Old 06-26-2017, 10:21 AM
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The Disreputable Dog The Disreputable Dog is offline
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11 days!
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  #266  
Old 06-26-2017, 11:29 AM
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Art_Vandelay Art_Vandelay is offline
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i think the worst part about this exam will be waiting 8 weeks for results
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  #267  
Old 06-26-2017, 11:32 AM
ToBeAnActuaryOrNotToBe ToBeAnActuaryOrNotToBe is offline
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Quote:
Originally Posted by bjb0016 View Post
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.
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  #268  
Old 06-26-2017, 01:21 PM
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Art_Vandelay Art_Vandelay is offline
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Quote:
Originally Posted by ToBeAnActuaryOrNotToBe View Post
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  
Old 06-26-2017, 02:09 PM
sarat.muppana sarat.muppana is offline
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Hi, Don't we get the results immediately after taking the CBT test ?

Quote:
Originally Posted by bjb0016 View Post
i think the worst part about this exam will be waiting 8 weeks for results
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  #270  
Old 06-26-2017, 03:17 PM
jooni jooni is offline
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Quote:
Originally Posted by sarat.muppana View Post
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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