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Yes N'd1 is .055 while i calculated delta as .96. gamma is .01818 . please verify here :http://public.sheet.zoho.com/public/btzoho/hull-15-14 I think there is some mistake in the Q.

Comparative Advantage means that parties entering into contract are in advantage than when they are not entering into the contract. In interest rate swap either party can change their liability or an investment from fixed to floating or from floating to fixed. For e.g. X has liability of paying...

Yeah I agree with David that we need to make an assumption of delta equal to one also that the futures and spot price at any instant are almost the same otherwise an arbitrage is possible. If no arbitrage condition is not violated than assumption of almost same futures and spot price is valid...

Also the Hull's example is calculating the expected portfolio return that's why its considering the risk free rate. Don't get confused:)

Well, IN the example given in Hull. There is no final value of index given, So the example provides with risk free rate to know the final position of the index which is already provided in the above Question. Also in hull's example futures price is explicitly mentioned which we should take but...

Actually the manager is taking futures position on the index.Initially if spot price is S0 than futures price is same which can change in future. As F=S0*e^rt. we can use this price as futures because futures are derivatives whose value depends on the value of the underlying which in this case...

N=1.6*50000000/250*1190=269 Loss=.15%50=7.5 million $ Gain on Futures=269*250*(112)=7.532 million $ Net gain-7.532-7.5=.032 million $=32K gain.. is this the answer kindly confirm?

HI, Under standard approach we just need to multiply the 8% by the associated risk RWA. Its the method used under standard approach so that is it. And since topic is Standard Approach to Credit Risk under Basel II we just need to calculate the capital required to cover credit risk and not the...

Hi, Please visit the link http://forum.bionicturtle.com/threads/2012-frm-part-i-books-vs-frm-handbook-6th-edition.5929/#post-18006 and http://www.bionicturtle.com/faqs/category/frm-product#do-i-need-the-handbook-and-readings for further information.

You need to work hard because you need to know a lot mathematical formula to understand. You should prepare at your own pace but keep in mind that you should also give considerable time to mathematical areas due to your no mathematics background. Please create a separate set of notes on complex...

James, I would recommend for schweser as well as BT's notes and videos as I see David has great depth of experience and knowledge.I would had definitely purchased his notes/videos. Just follow the study plan. I don't think you require anything else besides these for your preparation. This is...

Hello guys, May this links might help: http://forum.bionicturtle.com/threads/volatility-smile.4563/#post-11949 http://forum.bionicturtle.com/threads/volatility-smile.753/ thanks

The spread is fixed for the life of the swap. CDS is an agreement between two parties whereby the protection buyer pays spread quarterly to CDS seller and seller recieves this spread for assuming the credit risk of the bond or other instrument. For. e.g. if protection buyer X wants to protect...

I would recommend that you go for only one part at a time. This would help you to focus on part at a time. otherwise giving two parts together might not give you enough focus as u need to study more exam topics and could hamper your overall understanding. giving each exam separately will give...

Hi, you should use cumulative Z table see value for 1.645 as 1.6 on left column and take the mean of match with value on .04/.05 in top row.so that N(1.645)=.95 see http://forum.bionicturtle.com/threads/valuing-a-call-option-bsm-model.556/

N(d1) is the probability of stock price S>X the exercise price.It is nothing but a cumulative normal distribution values we find for one tailed tests using z values. It can be found by calculating area to the right of d1.can be found from z statistical tables at back. for e.g. if d1=1.645 the...

Hi, I read it somewhere in the statistics book. don't remember from where i read it. Just that i remember about it :). thanks

CI is given by [lower limit, upper limit] Let x be mean VaR then and SE be standard error, lower limit=x-1.645*SE….1 upper limit=x+1.645*SE…..2 subtracting 1 from 2 implies, CW=upper limit- lower limit=2*1.645*SE….3 from data given in Q applying formula 3 gives us, CW1=.8=2*1.645*SE1 (for n1...

Yes you should know all the formulas and understand them rather than just memorizing in memory. Understand the presence of each symbol and the formula's significance. I during my FRM prep made charts in front of my table to know all the formulas and become familiar with them.Thanks hope it helps

Yeah I agree with Aleksander . Yes we cannot compare apples with oranges. While FRM is related to risk related field while CFA is altogether different cup of tea with focus on investments.Then comparing them on difficulty level is not fair. Many people say CFA has only 3 options while FRM has 4...