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Hello, referring to the Study Notes Jorion Ch. 6 , page 5 & MR Book 2018 p. 51: For model p=3%, when I calculate the (4-7.5)/ SQRT (0.03*0.97*250) ) I get = - 1.29 which is in range of cut off range for 97% two sided test, z value = + / - 2.17. Why is it then poor model? Thanks

Dear David, Refering to p. 17 in Tuckman's notes, ch. 7 and slide 9 in the video (Tuckam ch. 7). What is teh formulae used pleased to get these prices? Thanks,

Dear BT Team Would you please clarify a bit the notion of independent amount as per study notes (pages 32-33)? I am missing something here as it is stated (1) independent amount (IA) is a negative threshold (2) conceptually, IA is similar to initial margin (3) the threshold represents...

Dear BT Team How can I know which materials / videos were updated or added since my last visit (any)? Thanks a lot

Dear BT Team, Happy New Year! I am writing regarding BT study packages for FRM Level II May 2015. How far are you with preparation of FRM Level II materials? Have you finished adding all new topics/chapters? Second how many hours of videos you provide in your Advanced/Pro packages? Are all...

God help us! I am nowhere with my preparation :( I hope guys the situation is not as dark on your end :) Anyways, I am comparing logic behind questions P1.T2.209.1 and P1.T2.71.2. Sample size in both questions is large, by definition (e.g. n> 30). Yet standard error in the P1.T2.209.1 is...

Hello there! I wonder if there is a difference in result of this question if, ceteris paribus, instead of (1) Ho < or = 27 Ha > 27 as in the old question P1.T2.210.2, hypothesis was (2) H0 > or = 27 Ha < 27. I thought that for the first case t-statistics was negative (- 1.71, since (mu...

As in my another post on Monte Carlo (MC) (P1.T2 323.3), here as well I have a problem of understanding concept of so called "discrete" GBM. Given that GBM is not differentiable, one needs to apply Ito's Lemma (even for MC method), which is not done here. Comments, pls? Thanks

Dear BT Forum, My understanding is that for computing COV(X,Y) = E(XY) - E(X)E(Y) we use joint probability density function to determine E(XY) and individual marginal pdf / pmf / to determine E(X) and E(Y). Why in this practice question the joint probability was used to compute E(X) and...

When one applies Ito lemma for logarithmical transformation of price process that follows GBM, one obtains St = So*exp( (mu - sigma^2/2)dt + sigma * dWt). If one further applies Monte Carlo simulation dt is replaced by detla t (i.e. one goes from infinitesimal time steps to larger time steps...

To me it seems that the answer to question 316.3 provided in materials (15.824%) is totally wrong. In a 12 - step-binomial tree there are 144 ( 12 power 2) states of nature at the end of the last step, with 13 different payoffs (12 +1). Moreover, there are 2 states of nature that can yield the...