18.600  Probability & Random Variables

review session / office hour times on Saturday and Tuesday

Evgeni's review session/office hours: 2-449 on Saturday 5-7 pm.

Cesar's review session/office hours: 2-449 on Tuesday 5-7 pm.

Announced on 17 May 2017  9:38  p.m. by Scott Roger Sheffield

you can pick up problem sets and old exams in lecture today

Cesar and Evgeni will bring all of your graded problem sets and exams to lecture today, about fifteen minutes before class starts. This is a good chance to pick up your work if you haven't already done so.

Announced on 17 May 2017  9:14  a.m. by Scott Roger Sheffield

lecture notes for Lectures 34 to 36

Dear class,

I want to make sure you know that I have posted some new lecture notes for Lectures 34 to 36 online. These notes were built out of what is in the lecture slides, but they offer a bit more explanation about martingales, the optional stopping theorem, risk neutral probability, and Black-Scholes.

These are the only topics in the course that are not covered in the textbook, so my hope is that it will be useful to have notes that assemble that core of what we'll be doing into one place. I've revised them over the weekend, but this is still something of a draft. If anyone wants to post a list of typos or other mistakes on Piazza, I'll have a go at fixing them.

Announced on 08 May 2017  10:45  a.m. by Scott Roger Sheffield

forthcoming lectures

Dear class,

First, let me say that I won't be able to stay as long after class today (have to be somewhere 3:05) but I'll try to come to class early (1:40, say) in case anyone wants to ask questions then.

Second, let me briefly outline of what to expect from the final eight lectures of the course, which will cover subjects rather different from those we have explored thus far.

Today's and Wednesday's lectures (Markov chains and entropy) are largely self contained explorations of these topics and more or less follow the textbook presentation.

After that we will have three lectures covering topics that aren't in the textbook: martingales and risk neutral probability, including the optional stopping theorem and the famous Black-Scholes derivation. Some people think of these as "financial math" topics but in fact they are relevant to pretty much any discipline (science, politics, medicine, etc.) in which one acquires information over the course of time, and the math involved comes up in many seemingly unrelated math and physics problems. I'll be sending out some lecture notes as these lectures take place.

Finally, the concluding three lectures will consist of review and final exam preparation. They will be structured around solving the problems on an imaginary three hour final exam, with explanation and review of various topics woven into the problem solving.

See you soon,

Scott

Announced on 01 May 2017  9:03  a.m. by Scott Roger Sheffield

lecture today

Dear class,

I won't be able to stay to chat for as long after lecture today as usual (have to be somewhere by 3:05) but I'll compensate by coming to lecture a bit early (about 1:40) with the exams in case anybody wants to talk to me a bit before lecture starts.

Best,

Scott

Announced on 24 April 2017  10:00  a.m. by Scott Roger Sheffield