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想问下，考试难度和ASM的哪套题目相似？

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关键词：MFE ASM 童鞋

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ding

顶！！

ding

个人感觉难度不低，与 ASM 的 Practice Exam 中 6-11 相比要稍微容易一些。我个人有3-4 个问题完全靠猜测。

1-3.。。我只做了这个。。。感觉像爆了

一只～ 发表于 2013-7-16 08:38
1-3.。。我只做了这个。。。感觉像爆了

你是说和asm的前三套很相似/??

ding~~~~~~~~~~~~~~~~~

(I just copied my previous answer from https://bbs.pinggu.org/thread-2530886-2-1.html)

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I took MFE on July 16, 2013. The questions are not difficult (easier than most of questions in the Sample)

Topics include but NOT limited to:
2 *       estimation of historical volatility & expected return
2~3 *   interest rate model  
5~6 *   binomial tree model --> to calculate the price for American option
1~2 *  BDT interest model
1 *       price boundary of European option
1~2 *  to calculate option price by using prepaid-forward formulaOther topics: Greak for options, Ito's lemma + definition of martingale; the 3 expressions of partion different equation for stock, etc.

Some useful tips:

(1) there are some hidden information for some questions. You need to figure it out to finish the qustion.
For example,
    -for the nondividend paying stock, the forward price to buy 1 share after 2 years is 108.
    - S(0) = 100.
These 2 conditions implies that  exp(-2r) = 100/108.

(2) To calculate the option price, always be sure which number should be used as the payment trigger/strike for d(2).

(3) It would be time-saving if you could remember the partial differential equation for power contract, [S(t)]^a
d{[S(t)]^a}   /  { [S(t)]^a }  = { a * (alpha-dividend yield) +(sigma^2) * [a *  (a-1) ] /2 } * t  + (a * sigma ) dZ(t)   

Hope this fornula looks okay for you...






Let me know if you have any question. Good luck!