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QFI Core Exam Old Advanced Portfolio Management Forum 

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#1




QFI Quant Spring 2019
How is everyone's progress so far?
Right now I feel like I am really good with the stochastic calculus unit (section 1) and equities (section 4), but know absolutely nothing about the fixed income and modelling sections 2,3 +5.
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#2




I feel like I'm understanding the material. I'm almost through Topics 13, Stochastic Calc, Fixed Income, Interest Rate Models, but I've been mostly saving the problems for when I get through it all so that'll be the real test. Except for Stochastic Calc, I did a lot of those problems and feel good. I'm just hoping I'm not going to get lost in all of these details when I try to put it all together.
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#7




same here... every time I start feeling ok with let's say Section 1 (stochastic calculus), there's a question that uses some obscure calculus trick, completely destroying any bit of confidence that I had. Lots of the solutions make sense which I guess is a plus, but I have no idea how I will pull out something like a Ws^2 = Ws(Wt  Ws) + Ws^2 kind of trick out of thin air in 3 minutes....

#8




lol you are right, this exam does have lots of calculus tricks which is fair to expect. I just have trouble wrapping my head around the sheer number of concepts. Also, maybe I am tripping but are you sure that equation is correct ? I dont think Ws^2 can ever be equal to the right side of that equation. On the other hand conditional expected value of Ws^2 could equal to the conditional expected value of the right side of the equation since Ws(WtWs) is an independent increment of Brownian motion. assuming s<t
Last edited by Habro; 03112019 at 07:24 PM.. 
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