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2010-03-30

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MFE Study Guide

Introduction

The material in this quick study guide has been done to the best of my knowledge.
Some topics are only covered briefly (Delta-Hedging and Caps/Floors) while other topics have been omitted (Equity Linked Annuities and Compound Options w/One Discrete Dividend).
All exam tips are marked in red!
This the 1st Edition of my MFE study guide, and it may be updated in the future with better content.
Comments and questions may be directed via PM to colby2152 on the Actuarial Outpost.


2nd Edition Notes: Jraven and fractl helped me tweak some little errors in the study guide.
An entirely revamped Spring 08 Edition will be out by March 2008 with more on Brownian Motion, a better understanding but less detailed look at the Greeks, an easier view of convexity, and perpetual options will be removed.

Acknowledgements: Day Yi, Abraham Weishus, Bill Cross and AO Member “Jraven”

Chapter 9 - Parity and Other Option Relationships

Option Exercise Style
  • American: any time
  • European: end of maturity
Value of otherwise identical options: European < American

Put-Call Parity
General Formula: Call(K, T) – Put(K, T) = PV(FO,T
– K)

K: strike price
T: exercise time
Put-Call parity usually fails for American-style options.

Currency: C(K, T) – P(K, T) = x0e-r
附件列表

2008SOAAdvancedPortfolioManagementExam.pdf

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2008SOAAdvancedPortfolioManage ...

2010年样题FM答案.pdf

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2010年样题FM答案.pdf

solutiontoderivativemarketspart1.pdf

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solutiontoderivativemarketspart2.pdf

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北美精算:ExamPGuoSpring2009edi.pdf

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北美精算:ExamPGuoSpring2009ed

fm官方样题.pdf.pdf

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fm官方样题.pdf.pdf

MFEStudyGuide.doc

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MFEStudyGuide.doc

examP-GUOSDeeperUnderstanding,FasterCalculation.pdf

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examP-GUOSDeeperUnderstanding,

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全部回复
2010-4-6 21:10:38
不错,但就是贵了点
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2010-4-6 21:47:15
这些东西在SOA的官方网站上应该都有吧
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2010-4-6 22:02:42
有事全英文的·······啊啊
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2010-4-6 22:04:54
买了第一个,发现上当了。
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2010-4-12 13:33:08
好对啊,再搜搜看
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