MFE - Fall 2010 - PAK

[Twitches]

Every time I look at 15 the gap between B and C gets smaller and smaller.

[Jengo]

Originally Posted by jprep

Ker8 said that that question was actually #15, with 1/12.5 and 1/15 shares. She answered D, but said that it could likely have been B, -0.01. So I took her word for it.

I will say 100% without a doubt that 1/12.5 and 1/15 shares was NOT #15. I worked on and got an answer for that one; in my notes #15 was a question I guessed on. As for the nature of #15, I believe it is the replicating portfolio/linear algebra problem.

I will also say that I did this particular problem a number of times and thought for sure it was B (-.01)...

[DonchaKnow]

Originally Posted by pmontgom

90% sure question 7 had to do with exchange options. unfortunately I ran out of time. and couldn't finish it, but I'm pretty sure the calculated sigma was .11

so pak is right?

[ker8]

Originally Posted by Jengo

I will say 100% without a doubt that 1/12.5 and 1/15 shares was NOT #15. I worked on and got an answer for that one; in my notes #15 was a question I guessed on. As for the nature of #15, I believe it is the replicating portfolio/linear algebra problem.

I will also say that I did this particular problem a number of times and thought for sure it was B (-.01)...

Should be #12; 15 escapes me at the moment.

[pmontgom]

Can someone double-verify that Spring 2010 MFE PM was 14? I had a 13 on PAK, but I ended up with a scaled score of 3. Worried that this means my score is not going to hold up.

[Elsaball]

Uch, I'm sitting on a 16 in PAK, but I'm 95% sure I had D's for the last three, even though I transcribed E's, which would bring me up to 18.

[jprep]

Originally Posted by Jengo

I will say 100% without a doubt that 1/12.5 and 1/15 shares was NOT #15. I worked on and got an answer for that one; in my notes #15 was a question I guessed on. As for the nature of #15, I believe it is the replicating portfolio/linear algebra problem.

I will also say that I did this particular problem a number of times and thought for sure it was B (-.01)...

#19 was the linear algebra problem.

[kyotousa]

Originally Posted by Jengo

I will say 100% without a doubt that 1/12.5 and 1/15 shares was NOT #15. I worked on and got an answer for that one; in my notes #15 was a question I guessed on. As for the nature of #15, I believe it is the replicating portfolio/linear algebra problem.

I will also say that I did this particular problem a number of times and thought for sure it was B (-.01)...

Oh I am pretty sure about 15 then...I got B.
solve for K, (which is 1) then find the forward price of the portfoio.

[levenzaha]

Originally Posted by tiernane

The opposite happened to me... Went to bed feeling decent with a 16, now down to a 15...

19 has been changed. Down to what seems like a pretty certain 15. This is just way too close i can't take it

[Elsaball]

Ker8,
Can you post what you feel the PAK's currently wrong about, so we can have a consolidated list from someone we know did well.
Thanks