Brownian Motion

Mr. Stolyarov presents both general and exam-specific studying approaches that can help actuarial students put in the effort and learn the materials necessary for doing well on Exam 3F/MFE. This article accompanies Mr. Stolyarov's extensive free study guide.

Section 82 of The Actuary's Free Study Guide for Exam 3F / Exam MFE walks students through an exam-style question involving a conceptual understanding of Brownian motion as well as an application of the Garman-Kohlhagen formula to an international business contract.

The revised Section 60 of The Actuary's Free Study Guide for Exam 3F / Exam MFE gives five introductory practice problems and solutions regarding geometric Brownian motion. A previous error in Solution BGBM5 has now been corrected.

Section 69 of The Actuary's Free Study Guide for Exam 3F / Exam MFE presents 5 additional exam-style questions on Ito's Lemma and Brownian motion, as well as several shortcuts and techniques for solving specific problem types.

Section 68 of The Actuary's Free Study Guide for Exam 3F / Exam MFE offers a set of tools for solving conceptual questions regarding Brownian motion that might appear on the exam. 5 practice problems and solutions are provided.

Section 67 of The Actuary's Free Study Guide for Exam 3F / Exam MFE gives some multiplication rules applicable to Brownian motion problems, as well as exam-style questions involving Brownian Motion and Ito's Lemma. Solutions are provided.

Section 65 of The Actuary's Free Study Guide for Exam 3F / Exam MFE to explores the connection between the Sharpe ratios of two different perfectly correlated assets following geometric Brownian motions. 5 practice problems and solutions are given.

Section 64 of The Actuary's Free Study Guide for Exam 3F / Exam MFE introduces a formula for performing probability calculations with geometric Brownian motion. Five practice problems and solutions are provided.

Section 63 of The Actuary's Free Study Guide for Exam 3F / Exam MFE gives five practice problems and solutions involving probability calculations using arithmetic Brownian motion.

Section 60 of The Actuary's Free Study Guide for Exam 3F / Exam MFE continues to introduce students to Brownian motion, this time focusing on geometric Brownian motion and basic applications. 5 problems and solutions are available.

Section 59 of The Actuary's Free Study Guide for Exam 3F / MFE gives a gentle introduction to the definition of Brownian motion and the expression for arithmetic Brownian motion. If you want to gradually build up your knowledge of this subject, this is the section for you.

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Section 61 of The Actuary's Free Study Guide for Exam 3F / Exam MFE gives an introduction to mean reversion processes in Brownian motion -- including the Ornstein-Uhlenbeck process. 5 practice problems and solutions are provided.