七月 MFE

大家加油 细心下来 看到不会的不要死订 要跳过 不一定前面简单后面难 做顺了再回来 加油

明天 12PM 考了， 求过啊啊啊啊

我的题目是前面难，后面简单。。。所以如果开始很难不要紧张，总体难度不是很难的。。祝你好运。。

一会就去考了 回来汇报成绩~大家加油

考试题型和ASM后面的practise exam差不多，但是计算量要小的多。考前模拟的话做ASM的PE还是不错的，可以马上查漏补缺。真正考试的时候也就轻松很多，我一个半小时做完，顺利通过。

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!

我practise exam没做完，sample没做，但还是过了。。。

考前一天才看完manual ，没有做过PE 做了一部分 sample的飘过。。。

感觉考察的还是比较基础的知识点是否扎实。 因为复习时间不够，ASM后面几章和最难的exotic options中比较复杂的东西我跳过去了，也没怎么考。利率模型里面考到了 长期的interest rate (r_bar)的公式，我没背，就蒙了一个。

前面4、5题都不太好做（可能是紧张？） 我就先跳过去做后面的，顺手了再回头解决。

不难，但是准备得很认证。还是挺tricky的，数字一个带错了居然也在选项之一，所以一定要当心的。