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Type: Posts; User: brandond; Keyword(s):

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  1. Replies
    2
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    1,850

    Ok, I think I answered my own question. I think I...

    Ok, I think I answered my own question. I think I can think of it as closing my position at t=.25. To get out of the obligation of selling the calls and close the position, I must by them back, and...
  2. Replies
    2
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    1,850

    Delta Hedge Question

    This has always perplexed me so maybe someone can explain the reasoning behind this.

    For example: A market maker who delta hedges sells 1200 call options on a non dividend paying stock with strike...
  3. Replies
    5
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    2,854

    NoMoreExams, can you point me where I'm wrong...

    NoMoreExams, can you point me where I'm wrong here.

    By PCP: C-P = S-Ke^(-rT) assuming no dividends, so,

    P > C - S + Ke^(-rT) or P < C - S + Ke^(-rT) represent how we could exploit arbitrage.
    ...
  4. Replies
    5
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    2,854

    Not sure I know how to quite exactly answer the...

    Not sure I know how to quite exactly answer the problem here, but as far as what your asking about (+) and (-) signs in front of a cashflow I think your mistaken.

    Setting up your PCP if you have a...
  5. Thread: Disconnect

    by brandond
    Replies
    29
    Views
    10,924

    Did score a 5. Came in the morning very...

    Did score a 5. Came in the morning very unprepared and didn't look at any notes or anything and immediately started off poorly and was having to rework the problems I did know 2 and 3 times. Next...
  6. Thread: Disconnect

    by brandond
    Replies
    29
    Views
    10,924

    Well my inclinations were correct, just got the...

    Well my inclinations were correct, just got the fail.
  7. Thread: Disconnect

    by brandond
    Replies
    29
    Views
    10,924

    This goes in line with the general discussion of...

    This goes in line with the general discussion of this thread, but speaking for myself, I have never even bought the DM textbook, let alone worked any problems from it and I've made it through the...
  8. Thread: Disconnect

    by brandond
    Replies
    29
    Views
    10,924

    If this is the case I hope I get smarter as I...

    If this is the case I hope I get smarter as I progress because otherwise I'm in for a long road on these exams. I studied my tail off for FM and thought I walked out with a 9 minimum, to my surprise...
  9. Thread: Disconnect

    by brandond
    Replies
    29
    Views
    10,924

    All I was trying to say is that maybe it is...

    All I was trying to say is that maybe it is appropriate to voice some concerns or let off a little steam. I did that after I came home from the exam because I was frustrated with myself more than...
  10. Thread: Disconnect

    by brandond
    Replies
    29
    Views
    10,924

    I understand in voicing complaints/concerns or...

    I understand in voicing complaints/concerns or things you think may be unfair. Ultimately though I don't know how much good it is going to do. I was bitter and ticked off for sure for a while, but my...
  11. Thread: Disconnect

    by brandond
    Replies
    29
    Views
    10,924

    No, thank you for the post NoMoreExams. I wrote...

    No, thank you for the post NoMoreExams. I wrote that right after the exam and was a little '''''', more at myself than anything. I didn't warm up correctly, which immediate sent me into a little bit...
  12. That works put your coupons are semi-annual at...

    That works put your coupons are semi-annual at 400, not 40 (maybe that was just a typo) and your interest rate "j" for your coupon payments should be 1.06=(1+j)^2, so j=.02956.

    It may be easier in...
  13. Replies
    3
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    1,998

    I'm going to go with what you are saying the...

    I'm going to go with what you are saying the annualized forward premium is, that looks correct now that I see it.
  14. Replies
    3
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    1,998

    Number 1) Get a new manual I get 32.31 as the...

    Number 1) Get a new manual

    I get 32.31 as the prepaid, 34.31 as the forward

    I forget the definition of the forward premium, but I want to say its [(forward price-spot price)/spot price] but...
  15. Replies
    12
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    3,785

    Thank you. Sometimes I'm not sure if what I'm...

    Thank you. Sometimes I'm not sure if what I'm thinking is correct and don't want to look like a fool making a statement that turns out to be incorrect.
  16. Replies
    12
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    3,785

    Are you saying then that you really cant answer...

    Are you saying then that you really cant answer the question then?
  17. Replies
    12
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    3,785

    How do we know? It just says the stock pays...

    How do we know? It just says the stock pays dividends. How can we also say S=K?
  18. Replies
    12
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    3,785

    How does this answer his question though? If you...

    How does this answer his question though? If you can create multiple scenarios where C>P and C<P then how can he definitively answer the question and claim that a put on a dividend paying stock is...
  19. Replies
    12
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    3,785

    I was thinking there needs to be more info as...

    I was thinking there needs to be more info as well.
  20. Reread the question, there has to be a part of it...

    Reread the question, there has to be a part of it your missing. From what you wrote I also got 6.7. Your probably missing something else in the question.
  21. Replies
    4
    Views
    1,818

    Where are you trying to use it? I only remember...

    Where are you trying to use it? I only remember using it in the normal distribution table, and even at that only in practice problems. For the exam if I recall correctly the SOA doesn't want you to....
  22. Scratch my previous answer, I'm going with...

    Scratch my previous answer, I'm going with 103,169.7606 for (i), I also get 287,924.4447 for (ii)
  23. Replies
    10
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    3,921

    [(1+i)^20]-1 Wouldn't you say that looks...

    [(1+i)^20]-1

    Wouldn't you say that looks better? I've passed the exam and I don't remember every little formula nor am I going to go back and scour sample problems just for you. So, I only went...
  24. Replies
    10
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    3,921

    Its not clear following your notation or I...

    Its not clear following your notation or I wouldn't have been mistaken in what you are trying to say, I'm not going to guess. You did label it "simple algebra question". Look at your original...
  25. Replies
    6
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    3,493

    Its defined piecewise. The force of interest for...

    Its defined piecewise. The force of interest for time t=5 to t=10 is not the same as from time t=0 to t=5 so you just can't discount from t=10 to t=0.
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