I passed the June 2011 Level II CFA exam!!

X

Dear X X,

Congratulations. I am very pleased to inform you that you passed the June 2011 Level II CFA exam. You are one step closer to achieving your goal of earning the globally respected CFA charter.

43% of candidates passed the June 2011 Level II CFA exam. Registration for the June 2012 Level III CFA exam will be available 27 July on the CFA Institute website. (Please note that you must have a valid international travel passport to register. Learn more about the candidate ID policy.)

Your detailed exam results, including a matrix outlining your strengths and weaknesses, are in the table below.

As you continue your educational journey with CFA Institute, please contact us if you have questions or comments about the CFA Program.

Again, congratulations on your achievement.

...

The three columns on the right are marked with asterisks to indicate your performance on each topic area.

Item Set Q# Topic Max Pts <=50% 51%-70% >70% - Alternative Investments 18 - - * - Corporate Finance 36 - * - - Derivatives 36 - * - - Economics 18 - - * - Equity Investments 72 - * - - Ethical & Professional Standards 36 - * - - Financial Reporting & Analysis 72 - * - - Fixed Income Investments 36 - - * - Portfolio Management 18 - - * - Quantitative Methods 18 - * -

2011 CFA Level 2

Now it's fnishished and I don't know how to express how glad I am. I have been under the really heavy pressure due to not only the exam itself, but also the feeling that I haven't been a good father nor husband. I have been studying almost all the weekends although I often drove a car to have a dinner with my family.

On top of that, we had a huge earthquake and tsunami; nuke plant crisis in Fukushima continues now. I and my family were temporarily relocated to Singapore in last March for a few weeks. I couldn't study during that time at all.

Additionally, I thought a CFA charter is a ticket to a new career; somewhere not in the asset management industry. (CFA is said to be a qualification mainly for buy-side, but I think it's also beneficial for investment banking and global markets.) I have been feeling stressed because my job was not intellectually stimulated and I could't even imagine that I am doing the same job in the long run. This situation requires me to pass the exam, and increases the importance of the exam. It was a stressful situation, indeed.

I somehow found a job in a boutique financial advisory firm; I was just lucky. The president just wanted to have someone who has an experience in derivatives pricing and risk analysis. Their business is so-called FAS, financial advisory service like BIG4 auditing firms' FAS subsidiary. They specializes in fair valuation of companies and financial products. It's part of an investment banking industry and I'm so excited to join the firm, although it's just abeginning and I need to prove myself. (By the way, I declined a top-tier global investment management firm's offer for a portfolio manager.)

I did a good job in the exam, but I cannot be sure until I get an official result. Anyway, I just finished two import "jobs" and it's time to do two more, most important jobs:(1)doing an excellent job in my new firm to have knowledge, experience, skills, and human network to survive in the financial industry, and (2)being a great father and husband for my family.

2011 CFA Level II Exam - belongings

In the night before the exam day

• Admission Ticket
• Map
• ID(Passport, Driver's license, etc.)
• Mechanical pencil
• Eraser
• Extra lead
• Earplug
• Eye mask (for lunch break)
• Financial Calculator (TI BA II Plus Professional)
• Battery (for the financial calculater)
• Watch(G-SHOCK)
• Mobile phone (with mobile Suica; electronic money/commuter pass in Japan)
• Materials (notebook, Schweser's QuickSheet, etc.)
• Handkerchief
• Folding umbrella

In the morning on the exam day

• Lunch box
• PET bottle (mineral water)
• Snack (chocolate or something sugar-rich)

Unnecessary
• Wallet

Only for December exam
• Underwear for cold protection

Masters in Finance or Financial Engineering

Masters in Finance or Financial Engineering, Mathematics Finance

	full or part time/weekend	months	TOEFL	GMAT/GRE	(*1)	(*2)	(*3)	(*4)	Application fee	tuition	link
Columbia (FE)	full	12	Yes	GRE	?	?	?	?	?	$49,320	link
Columbia (MF)	full/part	12/?	Yes	GMAT/GRE(*6)	?	?	?	?	?	$38,614	link
NYU	full/part	18/?	Yes	GRE	?	?	?	?	?	?	link
CUNY	full/part	18/?	-	GMAT/GRE	?	Yes	?	Yes	?	?	link
Princeton	full	12-24	Yes	GMAT/GRE	Yes	Yes	Yes	-	$70	$38,620	link
Cornell				GRE
Carnegie Mellon
Harvard
MIT		12	Yes	GMAT/GRE					$100.00	$72,000	link
Chicago	full/part	12/24-36)	Yes	GRE						$44,892
Stanford	full	10.5-15	Yes	GRE	Yes	Yes	Yes	Yes	$0	$60,000(*5)	link
UC Berkeley	full	12	Yes	GMAT/GRE	-	-	Yes	Yes(2)	$225	$50,565	link
UCLA
LBS	full/weekend	10/22	Yes	GMAT	Yes	Yes	Yes	Yes	?	£33,100	link
Cambridge	full	12	Yes	GMAT(*6)	Yes	?	Yes	Yes	?	£33,780	link
Oxford	full	?	?	?	?	?	?	?	?	?	link

(*1) curriculum vitae
(*2) personal statement / essay
(*3) undergraduate/graduate transcripts
(*4) letters of recommendation / referees
(*5) including estimated living expenses

(*6) recommended/optional, but not required

Reference:
Quant Network Ranking of Financial Engineering Programs

Moldex Camo

For businesspersons, it's important to use one's time resourcefully and focus on study given the limited time. I use earplugs to reduce noise.

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【メ－ル便発送可】NRR値33（業界最高）！テーパー形状で耳への装着も楽々！... 価格：84円（税込、送料別）

Student Solutions Manual for Options, Futures, and Other Derivatives / John C. Hull

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Ordered on 2/2/2011 via Amazon.co.jp.

Black-Scholes Model

Black-Scholes Option Princing Model for dividend paying underlying assets VBA code (Premium only)

'// Author's blog: '// Heart of the Finance '// http://heartofthefinance.blogspot.com/ '// '// Black-Scholes Option Princing Model for dividend paying underlying assets VBA code (Premium only) '// version 1.0.0 '// Last update: 1/15/2011 Public Function BlackScholes(CallPutFlag As String, S As Double, K As Double, T As Double, r As Double, q As Double, v As Double) As Double 'S: spot price of an underlying asset 'K: strike price 'T: (T-t); time to maturity from today. i.e. T: time at maturity, t: today 'r: risk-free rate (annualized, continuous compounding) 'q: dividend yield (annualized, continuous compounding) 'v:volatility (standard deviation of return) of an underlying asset (annualized) Dim d1 As Double, d2 As Double d1 = (Log(S / K) + (r - q + v ^ 2 / 2) * T) / (v * Sqr(T)) d2 = d1 - v * Sqr(T) If CallPutFlag = "c" Then BlackScholes = Exp(-q * T) * S * CND(d1) - K * Exp(-r * T) * CND(d2) ElseIf CallPutFlag = "p" Then 'BlackScholes = K * Exp(-r * T) * CND(-d2) - S * Exp(-q * T) * CND(-d1) BlackScholes = K * Exp(-r * T) * (1 - CND(d2)) - S * Exp(-q * T) * (1 - CND(d1)) End If End Function '// The cumulative normal distribution function Public Function CND(X As Double) As Double Dim L As Double, K As Double Const a1 = 0.31938153: Const a2 = -0.356563782: Const a3 = 1.781477937: Const a4 = -1.821255978: Const a5 = 1.330274429 L = Abs(X) K = 1 / (1 + 0.2316419 * L) CND = 1 - 1 / Sqr(2 * Application.Pi()) * Exp(-L ^ 2 / 2) * (a1 * K + a2 * K ^ 2 + a3 * K ^ 3 + a4 * K ^ 4 + a5 * K ^ 5) If X < 0 Then CND = 1 - CND End If End Function

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Black-Scholes Option Princing Model for dividend paying underlying assets VBA code (Premium and Greeks)

'// Author's blog: '// Heart of the Finance '// http://heartofthefinance.blogspot.com/ '// '// Black-Scholes Option Princing Model for dividend paying underlying assets VBA code (Premium and Greeks) '// version 1.0.0 '// Last update: 1/15/2011 '**************************************************************************** '* Cumulative Standard Normal Distribution * '* (This function provides similar result as NORMSDIST( ) on Excel) * '**************************************************************************** Function SNorm(z) c1 = 2.506628 c2 = 0.3193815 c3 = -0.3565638 c4 = 1.7814779 c5 = -1.821256 c6 = 1.3302744 If z > 0 Or z = 0 Then w = 1 Else: w = -1 End If y = 1 / (1 + 0.2316419 * w * z) SNorm = 0.5 + w * (0.5 - (Exp(-z * z / 2) / c1) * _ (y * (c2 + y * (c3 + y * (c4 + y * (c5 + y * c6)))))) End Function '********************************************************************** '* Black-Scholes European Call Price Computation * '********************************************************************** Function Call_Eur(s, k, t, r, q, sd) Dim a As Single Dim b As Single Dim c As Single Dim d1 As Single Dim d2 As Single 's: spot price of an underlying asset 'k: strike price 't: (T-t); time to maturity. i.e. T: maturity, t: current 'r: risk-free rate (annual rate, continuous compounding) 'q: dividend yield (annual rate, continuous compounding) 'sd:volatility (standard deviation of return) of an underlying asset a = Log(s / k) b = (r - q + 0.5 * sd ^ 2) * t c = sd * (t ^ 0.5) d1 = (a + b) / c d2 = d1 - sd * (t ^ 0.5) Call_Eur = Exp(-q * t) * s * SNorm(d1) - k * Exp(-r * t) * SNorm(d2) End Function '********************************************************************* '* Black-Scholes European Put Price Computation * '********************************************************************* Function Put_Eur(s, k, t, r, q, sd) Dim a As Single Dim b As Single Dim c As Single Dim d1 As Single Dim d2 As Single a = Log(s / k) b = (r - q + 0.5 * sd ^ 2) * t c = sd * (t ^ 0.5) d1 = (a + b) / c d2 = d1 - sd * (t ^ 0.5) 'Put-call parity 'Call_Eur_tmp = Exp(-q * t) * s * SNorm(d1) - k * Exp(-r * t) * SNorm(d2) 'Put_Eur = -s * Exp(-q * t) + Call_Eur_tmp + k * Exp(-r * t) Put_Eur = k * Exp(-r * t) * (1 - SNorm(d2)) - s * Exp(-q * t) * (1 - SNorm(d1)) End Function '********************************************************************** '* Black-Scholes European Call Delta Computation * '********************************************************************** Function Call_Eur_Delta(s, k, t, r, q, sd) Dim a As Single Dim b As Single Dim c As Single Dim d1 As Single Dim d2 As Single a = Log(s / k) b = (r - q + 0.5 * sd ^ 2) * t c = sd * (t ^ 0.5) d1 = (a + b) / c d2 = d1 - sd * (t ^ 0.5) Call_Eur_Delta = Exp(-q * t) * SNorm(d1) End Function '********************************************************************* '* Black-Scholes European Put Delta Computation * '********************************************************************* Function Put_Eur_Delta(s, k, t, r, q, sd) Dim a As Single Dim b As Single Dim c As Single Dim d1 As Single Dim d2 As Single a = Log(s / k) b = (r - q + 0.5 * sd ^ 2) * t c = sd * (t ^ 0.5) d1 = (a + b) / c d2 = d1 - sd * (t ^ 0.5) Put_Eur_Delta = -Exp(-q * t) * (1 - SNorm(d1)) End Function '********************************************************************** '* Black-Scholes European Call Gamma Computation * '********************************************************************** Function Call_Eur_Gamma(s, k, t, r, q, sd) Dim a As Single Dim b As Single Dim c As Single Dim d1 As Single Dim d2 As Single a = Log(s / k) b = (r - q + 0.5 * sd ^ 2) * t c = sd * (t ^ 0.5) d1 = (a + b) / c d2 = d1 - sd * (t ^ 0.5) Call_Eur_Gamma = Exp(-q * t) / (s * sd * t ^ 0.5) * Exp(-d1 ^ 2 / 2) / (2 * Application.WorksheetFunction.Pi()) ^ 0.5 End Function '********************************************************************** '* Black-Scholes European Put Gamma Computation * '********************************************************************** Function Put_Eur_Gamma(s, k, t, r, q, sd) Dim a As Single Dim b As Single Dim c As Single Dim d1 As Single Dim d2 As Single a = Log(s / k) b = (r - q + 0.5 * sd ^ 2) * t c = sd * (t ^ 0.5) d1 = (a + b) / c d2 = d1 - sd * (t ^ 0.5) Put_Eur_Gamma = Exp(-q * t) / (s * sd * t ^ 0.5) * Exp(-d1 ^ 2 / 2) / (2 * Application.WorksheetFunction.Pi()) ^ 0.5 End Function '********************************************************************** '* Black-Scholes European Call Vega Computation * '********************************************************************** Function Call_Eur_Vega(s, k, t, r, q, sd) Dim a As Single Dim b As Single Dim c As Single Dim d1 As Single Dim d2 As Single a = Log(s / k) b = (r - q + 0.5 * sd ^ 2) * t c = sd * (t ^ 0.5) d1 = (a + b) / c d2 = d1 - sd * (t ^ 0.5) Call_Eur_Vega = Exp(-q * t) * s * (t ^ 0.5) * Exp(-d1 ^ 2 / 2) / (2 * Application.WorksheetFunction.Pi()) ^ 0.5 End Function '********************************************************************** '* Black-Scholes European Put Vega Computation * '********************************************************************** Function Put_Eur_Vega(s, k, t, r, q, sd) Dim a As Single Dim b As Single Dim c As Single Dim d1 As Single Dim d2 As Single a = Log(s / k) b = (r - q + 0.5 * sd ^ 2) * t c = sd * (t ^ 0.5) d1 = (a + b) / c d2 = d1 - sd * (t ^ 0.5) Put_Eur_Vega = Exp(-q * t) * s * (t ^ 0.5) * Exp(-d1 ^ 2 / 2) / (2 * Application.WorksheetFunction.Pi()) ^ 0.5 End Function '********************************************************************** '* Black-Scholes European Call Theta Computation * '********************************************************************** Function Call_Eur_Theta(s, k, t, r, q, sd) Dim a As Single Dim b As Single Dim c As Single Dim d1 As Single Dim d2 As Single a = Log(s / k) b = (r - q + 0.5 * sd ^ 2) * t c = sd * (t ^ 0.5) d1 = (a + b) / c d2 = d1 - sd * (t ^ 0.5) Call_Eur_Theta = q * Exp(-q * t) * s * SNorm(d1) - Exp(-q * t) * s * sd / (2 * (t) ^ 0.5) * Exp(-d1 ^ 2 / 2) / (2 * Application.WorksheetFunction.Pi()) ^ 0.5 - k * r * Exp(-r * t) * SNorm(d2) End Function '********************************************************************** '* Black-Scholes European Put Theta Computation * '********************************************************************** Function Put_Eur_Theta(s, k, t, r, q, sd) Dim a As Single Dim b As Single Dim c As Single Dim d1 As Single Dim d2 As Single a = Log(s / k) b = (r - q + 0.5 * sd ^ 2) * t c = sd * (t ^ 0.5) d1 = (a + b) / c d2 = d1 - sd * (t ^ 0.5) Put_Eur_Theta = q * Exp(-q * t) * s * (-1) * SNorm(-d1) - Exp(-q * t) * s * sd / (2 * (t) ^ 0.5) * Exp(-d1 ^ 2 / 2) / (2 * Application.WorksheetFunction.Pi()) ^ 0.5 + k * r * Exp(-r * t) * SNorm(-d2) End Function '********************************************************************** '* Black-Scholes European Call Rho Computation * '********************************************************************** Function Call_Eur_Rho(s, k, t, r, q, sd) Dim a As Single Dim b As Single Dim c As Single Dim d1 As Single Dim d2 As Single a = Log(s / k) b = (r - q + 0.5 * sd ^ 2) * t c = sd * (t ^ 0.5) d1 = (a + b) / c d2 = d1 - sd * (t ^ 0.5) Call_Eur_Rho = k * t * Exp(-r * t) * SNorm(d2) End Function '********************************************************************** '* Black-Scholes European Put Rho Computation * '********************************************************************** Function Put_Eur_Rho(s, k, t, r, q, sd) Dim a As Single Dim b As Single Dim c As Single Dim d1 As Single Dim d2 As Single a = Log(s / k) b = (r - q + 0.5 * sd ^ 2) * t c = sd * (t ^ 0.5) d1 = (a + b) / c d2 = d1 - sd * (t ^ 0.5) Put_Eur_Rho = -k * t * Exp(-r * t) * SNorm(-d2) End Function

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Ref.
http://en.wikipedia.org/wiki/Black-Scholes
http://www.worldscibooks.com/etextbook/p556/p556_chap04.pdf
http://www.espenhaug.com/black_scholes.html

Options, Futures, and Other Derivatives [With CDROM]/ John C. Hull

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Author's website
http://www.rotman.utoronto.ca/~hull/


Ordered on 1/18/2011 via Amazon.co.uk.
Order cancelled on 1/27/2011 due to the delay of the release.
Ordered on 2/2/2011 via Amazon.co.jp.
Order cancelled due to the delay.

THE QUANTS How a New Breed of Math Whizzes Conquered Wall Street and Nearly Destroyed It - Scott Patterson

I was in a quants hedge fund's New York office in August 6, 2007. I have never been able to forget the experience there.

Both finance and economics are different from physics. Because they are related to monetary value and ultimately investors' emotions. Would the be possible for us to appropriately model the emotions? I don't think so. Emotions fluctuate like all atoms under the absolute non-zero temperature.

This is a great book to review what happened in the market and think about what should be done next.


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Wordbook for TOEFL and GMAT

Finished today! This book is a famous wordbook for Japanese TOEFL&GMAT examinees.

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