Jim,
Really common question! The test is somewhat quantitative but, on a strict definition of calculus, there is little formal calculus. I just published the first episode and itâ€™s almost not an exaggeration to say the calculus â€œpeaksâ€ in this first episode (with the Taylor Series, which does not need to be derived but rather conceptually appreciated). First and second-order (partial) derivatives are about the extent of the calculus. (and logs and exponential play a role, but I consider that pre-calculus).
If math can be viewed in two dimensions, depth and breadth, the exam is extensively mathematical/quantitative in BREADTH more than DEPTH. Most of the math (e.g., option pricing, credit derivatives, Baselâ€™s IRB, hedge fund metrics) operate at a pre-calc level because they combine mathematical and statistical building blocks. For example, here is a 2008 FRM learning outcome (AIM): "Compute the value of a European option using the Black-Scholes-Merton model on a dividend-paying stock." Calculus is required to understand the derivation of this differential equation, but the FRM does not require that; the FRM requires only application of the BSM which uses building blocks (logs and standard normal cumulative distribution).
To put into another light (I get this quant question often), the new Quant text this year is
Essentials of Econometrics (the first eight chapters) and, well, it has 80% overlap with the text it replaced (Statistics) plus a chapter on multiple regression. So, that is all math for sure and but it's really statistics much more than calculus
In short, the exam is significantly quant but that quant is more "econometrics" and pre-calc than calculus.
I hope that helps!
David
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