[944] Final

[Gautam Iyer]

Dear All,

Don't "forget": Your final is on Sat Dec 16, 8 days 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 W^3 - f(t, W(t)) is
a martingale. If yes, find it. If no explain why).

I have put last years final and solutions on the website. Like before
the midterm, I will have one telecast office hours on Thursday, most
likely at 8:30AM. I will confirm the time shortly. (As before, I will
have nothing prepared and only answer any questions you might have.)

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: Solutions to HW 6 are online.

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