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  #21  
Old 05-08-2008, 06:07 PM
island2584 island2584 is offline
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Colby, excellent notes! I was looking at your Fall 2007 guide and then I saw your post about making a new formula sheet for now, spring 2008. Did you make a new one or should I stick to Fall 2007? Thank you!
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  #22  
Old 05-09-2008, 12:27 AM
arto83 arto83 is offline
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Quick question - in your formula for d1 of black-scholes you have the ln as
ln(Se^-(delta e)/Ke^-(delta e))

Isnt it just ln(S/K)??? - unless your prices are the forward prices?
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  #23  
Old 05-09-2008, 05:21 PM
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Valkyrie Valkyrie is offline
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Quote:
Originally Posted by arto83 View Post
Quick question - in your formula for d1 of black-scholes you have the ln as
ln(Se^-(delta e)/Ke^-(delta e))

Isnt it just ln(S/K)??? - unless your prices are the forward prices?
You can use it either way.

If you choose to use ln(S/K) you need to add (r - delta + .5*sigma^2)*t

if you use colby's way you just add (.5*sigma^2)*t

It's the same thing. Somtimes one method works out easier than the other.
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  #24  
Old 05-19-2008, 02:56 PM
Mc Lovin Mc Lovin is offline
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As Colby pointed out, it is not a complete study guide. Things that the SOA will test but are not in Colby's study guide and need to be added (that I can think of off the top of my mind):

C*e^(yT) = delta*S*e^(alpha*T) + B*e^(rT)
y - risk free rate / volatility (option) = alpha - risk free rate / volatilty (stock)
Calculating the variance of stock returns
formula for put/call conversion
How to delta-gamma hedge
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  #25  
Old 05-19-2008, 06:00 PM
Hawkeye16 Hawkeye16 is offline
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Quote:
Originally Posted by Mc Lovin View Post
As Colby pointed out, it is not a complete study guide. Things that the SOA will test but are not in Colby's study guide and need to be added (that I can think of off the top of my mind):

C*e^(yT) = delta*S*e^(alpha*T) + B*e^(rT)
y - risk free rate / volatility (option) = alpha - risk free rate / volatilty (stock)
Calculating the variance of stock returns
formula for put/call conversion
How to delta-gamma hedge
I think you forgot the elasticity in the bold one.
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  #26  
Old 06-20-2008, 09:32 AM
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Coquelicot Coquelicot is offline
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Default Topical Review Notes for Exam 3F/MFE

Hi all,

I'm finally posting my review notes. They are not arranged like the book - rather they are arranged topically by "types" of problems you'll encounter. The review includes a few examples that I used that include step-by-step directions on how to solve them.

They are also hand-written notes in pdf. I had dreams of typing them out, but with two toddlers and a husband at home and a full-time job, that may have never happened. So if someone is willing to type them out, I give you full permission to do so and to add your name as editor. It'd make correcting the Errata that much easier. All I ask is that you repost them here and send me a copy. I just thought that maybe this format would be of value to some people, so I decided it'd be better to post them this way than to not post them at all. My handwriting is usually pretty legible.

There's more info in the introduction - read it, take a look at the notes, and post the errata. Best wishes to all of you studying out there. Here's to hoping this might make it at least "slightly" easier.

Here's the link to the notes:
Exam 3F/MFE Review Notes - J. M. Swanson

J. M. Swanson
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  #27  
Old 08-05-2008, 10:40 AM
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TeeTeeJu TeeTeeJu is offline
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Exam MFE Review Notes PGS 1-10.zip
Exam MFE Review Notes PGS 11-21.zip
Exam MFE Review Notes PGS 22-32.zip

I split my notes into 3 attachments. There are 32 pages in all.

Let me know if you see any errors!!!

Last edited by TeeTeeJu; 08-05-2008 at 11:16 AM.. Reason: attaching
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  #28  
Old 09-25-2008, 06:58 AM
MarcNguyen MarcNguyen is offline
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It's good but in the first paragraph on page 11/13 said: Caps are like Calls and Floors are like Puts.
But in item 16.2 on AMS is opposite.
I think that your notes has minor error.
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  #29  
Old 10-11-2008, 02:38 PM
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Default MFE E-Book Draft - 10/11/08

I have been working on the attached notes for almost three months now. The attached PDF document is the first full draft. Keep in mind that I am still sitting for this exam, and it is my 2nd time for the exam. The first time I took it, I struggled with Brownian motion and Ito's Lemma questions. I decided that in my 2nd attempt, I would focus on my weak points and understand the theory than try and master practice problems. The result is these notes.

I wanted to change the way the order of this subject is taught. It makes sense to me to start right off with the meat and potatoes that is Brownian motion. Options need not be discussed until the 2nd quarter of the notes. Any mention of an option in Ito's Lemma is treated as a claim, a function of the stock price. The notes then dive in to the introduction of financial derivatives, specifically options on stocks. Explanations of how derivative and their dependent stock markets is needed. The last half of the notes is devoted to the pricing models that are based on the practical assumptions used in Brownian motion, the risk-neutral world and the market place.

I ask those who read these notes to please let me know what grammatical and mathematical errors that I have. Also, let me know what you think is missing, or what is explained either too briefly or too much. My goal is to have notes that are simple to understand.
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File Type: pdf MFE_10-11-08_E-book _draft 1 posted on AO_.pdf (510.3 KB, 3213 views)
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  #30  
Old 10-23-2008, 11:59 AM
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no driver no driver is offline
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The SOA released the sample questions in single files with the answer following each question. I like to print the questions one to a page so its easy to read and there's room to work, but I like to print the solutions two per page front and back to save paper. With the questions and solutions commingled it is hard to make it work.

Attached are two files with the SOA sample questions 1-31 in one file and the solutions in the other in case anyone else would like to have them that way.

As a disclaimer, I will not update these files in the future. Check the SOA's website for the most recent syllabus and sample questions.
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File Type: pdf SOA MFE Sample 1-31 Answers.pdf (382.3 KB, 1958 views)
File Type: pdf SOA MFE Sample 1-31 Questions.pdf (297.3 KB, 3200 views)
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