Perhaps we're all in shock. Okay, I'll kick off. I thought it was nasty. It was quite different I thought - my general impression is there were not as many calcs, more theory questions (and on the obscure end of the theory too). And no long risk management Q which I'd been revising hard for. Nasty interest rate question - I hadn't learned LMM as I was sure it wouldn't come up. Oops. Some of the other questions were just weird IMO. Find a such that W_t+at is Martingale must surely have been a typo. &Not sure what they meant us to show for the question about proving binomial representation theorem holds "for <example> at n=1". Oh well, least it's over for now! L
ST6 -April08 Hi there- i was the only one sitting this in brum- not suprising!! Exam I agree was very weird - didnt understand the BRT part (Q3 ii) also can some1 confirm what value they used for mu in the binomial tree question- the question had given r=o but no value for mu, so i used r=0, which I thought was strange. Also how on earth were you supposwed to derive equetion for u and d? Nasty question on LMM also - What do you think the pass mark is likely to be? Comments
hmmm. I didn't think it was that bad - but I really messed it up. There was quite a spread of questions - farly easy ones, medium and hard. Ah well - I can look forward to doing it again in September. The LMM question really caught me out and I was surprised that they didn't ask more risk management stuff too. The last question was really annoying me as well.
What did people make of the binomial tree question? how did you calculate the probabilities- i.e. what value did you use for the drift?
I vaguely thought there was more than one binomial tree question. In at least one of them, I assumed as no info was given about the real world, we were looking for the risk-neutral measure, so drift = r. All going pleasantly blurred now L
