[944] Final

[Gautam Iyer]

Dear All,

Don't "forget": Your final is on March 4th, one week from today. It will
be comprehensive, and cover everything in class. (The last new thing I
will do will be the Risk Neutral Pricing formula, on Monday. After I
finish this, I will spend Wednesday doing review problems.)

On the final you should expect:

    1. About 4 or 5 "short" questions, similar to those on the Midterm

    2. About 2 or 3 "more substantial" questions with longer, more
       involved calculations.

I would expect you finish the short questions in an hour and a half, and
then have an hour and a half for the remaining 2 or three longer
questions.

No proofs. Your questions will all be computations. However, I might ask
you to derive a formula for something (e.g. find a relation between the
derivatives of f so that f(t, W(t)) is a martingale), or an existence
argument (e.g. Does there exist a function such that f(t, W(t)) is a
martingale and f(0, x) = sin(x). If yes, find it. If no explain why).

I have put two old finals with solutions on the website. (One question
on these is about variance minimization, which I did not cover in class,
and won't be on your final. But if you read the solution, it is
accessible using techniques you have already learnt.)

Finally, please take a minute to fill out course evaluations:

    https://cmu.smartevals.com/

I value any comments you might have and would be happy to hear any
feedback you have about this course.

GI

PS: I'm teaching from NY on Monday, and will be happy to meet NY
    students most of the day that I'm on campus. Pittsburgh students,
    please turn in your homework to Ryan's mailbox in Wean Hall #6113
    under "Yan Xu". Note his name is above the box and not below, so be
    sure you put your homework in the right box. He will pick them up on
    Monday at 1:30PM precisely, and anything in the box after that will
    be considered as late, and as turned in the next time he visits the
    box. (You may, of course, scan in your homework instead if you
    wish).

-- 
My operat~1 system unders~1 long filena~1 , does yours?