Good morning,
I wrote my exam yesterday in Amsterdam and overall i am rather happy with the exam and my preparation. The level of difficulty was less than anticipated (rather like a mock exam of the year 2010-2013 + the addition of limited amount of tougher questions). After 30 questions I felt that I knew 80% of the questions at least - unfortunatelly this % dropped somewhat. In the end I had 10 questions I did not know, 10 sophisticated guesses between 2 choices, 10 qualitative answers I found made sense but i know that they are not a sure thing and 2,3 calculations of formulas I know very well but that somehow did not fit 100%. With the help of BT material and GARP mock exams I felt that I was very well prepared and there were so many questions that I could tackle with a lot of routine. This made the whole exam really fun to be honest.
That being said of course i have now idea if I passed or not. If not I will be a little puzzled though because my preparation was the best I could deliver and the exam was the fairest I could have asked for.
I had some difficulties with the binominal steps:
1. Last question (2 step binominal) was not so though but i was unsure about the dividend (add it to -r when discounting, right?) - my result didnt fit so I guessed between C/D (took D i believe)
2. I believe the one step one only gave step up/down but not all the info required to calculate the binominal step. Left it of the end and didnt have time to really work on it. Felt I had to find a way how to directly get the option price change in relation to up/down step change but again ... no time
Difficult for me:
1. Highest cost of delta hedge for a short position: I timeboxed my activities and had to guess. The cost to hedge delta should be indifferent to if you hedge 5 of -5 so disregarded the short position. I compared the two calls and identified that the one where S0 and K are different this will have a higher d1 and therefore N(d1). It was then difficult for me to assess if any of the puts can have a higher absolute value of (N(d1)-1) so I just picked my first choice with the call.
2. APT: there was a questions with two b factors (gdp, interest rates). One had to decide which of the four choices had a positive outcome. Would be nice to know how people solved this conceptually.
Would be great if anybody knew these answers.
Greetings,
Tim
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