Derivatives Study Manual  SOA Exam MFE / CAS Exam 3F
by Toby White, ACTS/FIN 121
November 19, 2013
1
Chapter 12: The BlackScholes Formula
Expected Number of MFE Questions: 3 (10%15%)
Diculty Level of these Questions: Much Easier than Average (ranking=2
Name
Graph
Description
Payoff
Profit
Comments
Long Forward
Commitment to purchase commodity at some point in the future at a prespecified price
ST  F
ST F
No premium Asset price contingency: Always Maximum Loss: F Maximum Gain: Unlimited
Short Forward
I.
Introduction:
A derivative is a financial instrument that has a value determined by an underlying asset.
Uses of derivatives:
o Risk management
o Speculation on prices
o Reducing transaction costs
o Avoiding taxes (regulatory arbitrage)
Financial en
Derivatives Study Manual  SOA Exam MFE / CAS Exam 3F
by Toby White, ACTS/FIN 121
October 31, 2013
1
Chapter 11: Binomial Option Pricing: Selected Concepts
Expected Number of MFE Questions: 1 (3%)
Diculty Level of these Questions: Easiest (ranking=3 on 1
Derivatives Study Manual  SOA Exam MFE / CAS Exam 3F
by Toby White, ACTS/FIN 121
November 11, 2013
1
Chapter 9: Parity and Other Option Relationships (and Appendix B.1: Interest Rates)
Expected Number of MFE Questions: 23 (10%)
Diculty Level of these Qu
Derivatives Study Manual  SOA Exam MFE / CAS Exam 3F
by Toby White, ACTS/FIN 121
October 23, 2013
1
Chapter 10: Binomial Option Pricing: Basic Concepts
Expected Number of MFE Questions: 23 (10%)
Diculty Level of these Questions: Easiest (ranking=1 on 1
Derivatives Study Manual  SOA Exam FM / CAS Exam 2
by Toby White, ACTS/FIN 121
September 30, 2013
1
Chapter 8: Swaps
Expected Number of FM Questions: 12 (5%)
Diculty Level of these Questions: (ranking = 7 on 19 scale)
1.1
Section 8.1: An Example of a C
Derivatives Study Manual  SOA Exam FM / CAS Exam 2
by Toby White, ACTS/FIN 121
September 24, 2013
1
Chapter 5: Financial Forwards and Futures
Expected Number of FM Questions: 23 (7%)
Diculty Level of these Questions: (ranking = 4 on 19 scale)
1.1
Secti
Derivatives Study Manual  SOA Exam FM / CAS Exam 2
by Toby White, ACTS/FIN 121
September 22, 2013
1
Chapter 4: Introduction to Risk Management
Expected Number of FM Questions: 1 (3%)
Diculty Level of these Questions: (ranking = 6 on 19 scale)
1.1
Sectio
Derivatives Study Manual  SOA Exam FM / CAS Exam 2
by Toby White, ACTS/FIN 121
August 29, 2013
1
Chapter 2: An Introduction to Forwards and Contracts
Expected Number of FM Questions: 23 (7%)
Diculty Level of these Questions: (ranking = 3 on 19 scale)
1
Derivatives Study Manual  SOA Exam FM / CAS Exam 2
by Toby White, ACTS/FIN 121
September 8, 2013
1
Chapter 3: Insurance, Collars, and Other Strategies
Expected Number of FM Questions: 23 (7%)
Diculty Level of these Questions: (ranking = 5 on 19 scale)
Derivatives Study Manual  SOA Exam FM / CAS Exam 2
by Toby White, ACTS/FIN 121
August 27, 2013
1
Chapter 1: Introduction to Derivatives
Expected Number of FM Questions: 1 (3%)
Diculty Level of these Questions: (ranking= 2 on 19 scale)
1.1
Section 1.1: W
Fall 2009

FlN150
 T.white 
FTNAL EXAM
 DERtvATtvES
MATH
DIRECTIONS: You must do all work on the blank sheets provided. UNLTKE FOR THE 3
TESTS, YOU SHOULD ATTEMPT ALL 10 QUESTIONS. Note that each question is
equally
weighted (25 points each), so that