April 2011

How did everyone find it? I thought it was very manageable, the only question that involved any great effort was that merton model one. I thought there was just a bit too much to do in the three hours though..

 

I seemed to spend forever in that Lagrangian multipliers question and wasted twenty minutes trying to remember U_t = X_t exp -at at the end for that Vasicek one. Couldn't remember the formula for vega of a call so I just recalculated its price with sigma 1% higher and did the vega = (price_1 - price_2)/(vol_1 - vol_2) fudge. We'll see if I got away with it!

 

This is ok as a rough approximation, but i think the question said calculate, might be worth 2 marks.

How do you all think this exam compares with previous papers?

 

Hi, was this Lagrangian multiplier question related to proportion splitting between two asset classes where another risk free asset was involved, or was it related to maximizing utility?

EDIT: NVM. Got it. That was a big sum to do!

 

what do you guys think the pass mark will be? i think i got 60%.

 

If you actually got 60% then i would wager substantial money on a pass