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  #31  
Old 10-25-2008, 03:49 PM
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I uploaded my 2nd draft with key updates in the Brownian Motion sections, the Equations Appendix and a new sub-section on Lease Rates and Claims under the last section, Exotic Options.
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File Type: pdf MFE_10-25-08_E-book _draft 2 posted on AO_.pdf (524.4 KB, 2868 views)
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  #32  
Old 11-05-2008, 01:43 PM
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Default Using your calculator to estimate volatility

ASM discusses finding the estimated volatility based on the sample standard deviation. It's good to know where the formulas come from but on an exam I'd rather leave the heavy lifting to my calculator because it saves a ton of time. Here's how to do it on the TI-30XIIS and the TI-30XS. I would assume you could get similar results from the TI-BAII+, but I haven't tried to use my BAII+ for anything other than TVM in a while.

TI-30XIIS:
[2nd][STAT]>[1-Var]
[DATA]
X1=ln(S1/S0)
...
Xn-1=ln(Sn/Sn-1)
[STATVAR]>[Sx]

TI-30XS:
[data]>[L1] (or whichever list you prefer)
L1(1)=ln(S1/S0)
...
L1(n-1)=ln(Sn/Sn-1)
[2nd][stat]>[1-Var Stats]
DATA: [L1]
FRQ: [ONE]
[CALC]>[Sx]

Annualized volatility is Sx*√units per year (365 for daily observations, 52 for weekly observations, 12 for monthly observations, etc)

If they ask an annualized volatility question based on observed data you can have an answer in no time.
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  #33  
Old 11-05-2008, 05:57 PM
J_Mo J_Mo is offline
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Here are my notes for this session for what they are worth. "This session" is Fall 08 for potential future exam takers who make look at this - in case there are syllabus changes.

I left them in Word format so people can modify them to fit their needs, and fill in things they feel are missing. Due to my extensive use of the Word equation editor, I needed to split my formula reference into two files because of AO file size restrictions.

One note, while the McDonald text often uses C as a generic option descriptor in formulas, like the binomial tree formula for the value of at a node, I followed the convention of the manual that I used this sitting and use a V for option Value. That made sense to me, and avoids some potential confusion and "does this also apply for a put" questions, but is different than what the text and ASM use.

If you see anything else, let me know. I hope to not be taking MFE again, but like everyone else, I won't know for sure until January.
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File Type: doc MFE Notes 9-12.doc (186.5 KB, 1999 views)
File Type: doc MFE Notes 13-24.doc (264.5 KB, 4414 views)
File Type: doc Potential Theory Style Notes.doc (82.0 KB, 3384 views)
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  #34  
Old 11-14-2008, 01:01 AM
nate00000 nate00000 is offline
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Quote:
Originally Posted by colby2152 View Post
I uploaded my 2nd draft with key updates in the Brownian Motion sections, the Equations Appendix and a new sub-section on Lease Rates and Claims under the last section, Exotic Options.
Colby - The notes appear very impressive. I sat for FM earlier this week and am trying to decide what to take in May; I'm leaning toward MFE as there are some similarities to FM.
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  #35  
Old 02-02-2009, 01:14 AM
cbrioso cbrioso is offline
 
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Default Study Notes

You can visit my website. I am posting my study notes and solutions.
http://actuarialexams.synthasite.com/
Here`s a samples
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File Type: pdf put-call parity.pdf (299.2 KB, 5521 views)
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  #36  
Old 02-03-2009, 10:34 PM
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Quote:
Originally Posted by colby2152 View Post
Fellow AO members helped me update some small errors in my original study guide. A brand new Spring 07 guide will be out by March.
I think i found an error in one of your formulas.

on the binomial pricing for the Jarrow/Rudd (or lognormal) alternative you have


Shouldn't it be


Then the same applies to the d value (only -the sigma root h instead of plus)
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  #37  
Old 02-05-2009, 09:39 AM
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Quote:
Originally Posted by GuineaPig View Post
I think i found an error in one of your formulas.

on the binomial pricing for the Jarrow/Rudd (or lognormal) alternative you have


Shouldn't it be


Then the same applies to the d value (only -the sigma root h instead of plus)
That would be a typo. I took a look at my latest edition (Draft 3 - 10/29/08) and that error is not there.
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  #38  
Old 02-05-2009, 12:30 PM
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Quote:
Originally Posted by colby2152 View Post
That would be a typo. I took a look at my latest edition (Draft 3 - 10/29/08) and that error is not there.
alright. I assumed it was a type but just wanted to make sure that it got corrected.
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  #39  
Old 02-25-2009, 01:32 PM
verbal_jint verbal_jint is offline
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Quote:
Originally Posted by J_Mo View Post
Here are my notes for this session for what they are worth. "This session" is Fall 08 for potential future exam takers who make look at this - in case there are syllabus changes.

I left them in Word format so people can modify them to fit their needs, and fill in things they feel are missing. Due to my extensive use of the Word equation editor, I needed to split my formula reference into two files because of AO file size restrictions.

One note, while the McDonald text often uses C as a generic option descriptor in formulas, like the binomial tree formula for the value of at a node, I followed the convention of the manual that I used this sitting and use a V for option Value. That made sense to me, and avoids some potential confusion and "does this also apply for a put" questions, but is different than what the text and ASM use.

If you see anything else, let me know. I hope to not be taking MFE again, but like everyone else, I won't know for sure until January.
i like this study notes the most! , thanks a lot for ur effort and sharing
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  #40  
Old 02-25-2009, 03:51 PM
scotth scotth is offline
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Quote:
Originally Posted by colby2152 View Post
That would be a typo. I took a look at my latest edition (Draft 3 - 10/29/08) and that error is not there.

I thought the latest was the 2nd edition? ... Post #31 (10-25-2008)

Can you post up the 3rd?
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