I didn't think at all to use the binomial tree as I think it mentioned it was a 2-step method?Anyone remember the answer to the American call option (CAD/USD) question using binomial tree?
What would be the answer to the question regarding bullet and barbell portfolio?
Regarding the Wembley exam, they did not even have a clock so it was very difficult to manage time during the exam, (atleast in the Atrium).Apologies but Shout out to all the guys who wrote at Wembley London. One of the worst organized exams I've ever seen. test started 34 minutes late. made to stand outside in freezing cold, ill equipped proctors who collected our answer sheets so irresponsibly as to make us cringe. All the best for the results.
Yes, i think the answer was 3200.To maintain delta hedge = no of calls( delta new-delta old)
= 100 x (.....)
I think the answer should be 3002 or 3200 or something like that. forgot the options
For 6...I also marked volume = 150..open interest = 100. But at hindsight I feel it's gonna be 150 and 50. Since he took up a new contract of 100 and 50 contracts from a person who had long previously but now reducing his position. That means he is closing down his position which will reduce the Open interest by 50 but increase the volune by 50 at the same time. What do u feel?Tough exam... One def has to read fast press the calculator fast and write fast. Can I check some of my concepts though. My fundamentals are not very strong but would like to keep learning whether or not I pass the exams
1) something about the put options and they give Greek letters to ask you which will decrease the bond price I think?
2) about MBS and convexity
4) covariance time series. Is it dependent on time displacement?
5) history of corporate bond ratings. I assume it is not likely to get investment grade rating during first year in which it defaults
6) volume and open interest. I think it was 150 and 100?
There was a question..For which the mean came to be 139. Any of u remember what was the Standard deviation? 0.6 or 0.07? In spurt of the moment I calculated the Variance and forgot that we need to square root it in order to find the standard deviation. I missed out a few sitters apart from obviously leaving out the difficult ones.
Was it something about expected losses being included as cost for credit cards?regarding the bullet barbell portfolio the answer is convexity of barbell is greater. does anyone remember the answer to credit risk of credit card ? dont remember the exact question