TIA's Exam MFE Blog

I’ve done a complete re-write of the solutions to this problem set, with much more detailed solutions to each problem.

michael Updates

The second-from-last equation on page 23 was missing a “-K” term in the conditional expectation.

michael Updates

There was a typo in the question for problem 3.

michael Updates

There was a typo in the solution to question 3 in the calculation of d2.

michael Updates

There was a typo in an intermediate step in the solution to Q3, but all of the final numbers remain unchanged.

michael Updates

I’ve corrected an error in the solution to question 5 as well as included a much more detailed solution.

michael Uncategorized

I’ve corrected a small error in the solutions to problems 1 and 2. The one-period binomial formula for the option prices in both problems incorrectly used T in place of h.

michael Updates

In general, I try to organize the seminar to follow the same order as the text. However, the placement of the material found in Chapter 22 of the text, Exotic Options II, makes little sense to me. Thus, I’ve decided to combine that material, previously covered in Section H of the online seminar, with the earlier exotic options lessons found in Section E. As a result, everything that was previously found in the old Section H can now be found in section E.3. To maintain an alphabetical sequence, the interest rate modeling material, previously labeled Section I, will now become section H.

You will find that these changes had already been anticipated when I made the recommended study schedule, so hopefully this slight re-organization will not have an adverse effect on your studies.

michael Updates

There are no major changes. Question 12 was modified to indicate that the portfolio uses American options, and the solution to question 1 was re-worded slightly.

michael Updates

We’ve been able to make the old instructor’s video solutions to the sample exams available to you on the website. The videos will of course be subject to the same issues that I blogged about regarding the sample exams themselves, but it is our hope that you will find them helpful.

michael Updates