[944] Midterm

[Gautam Iyer via mscf-944]

Dear All,

Your midterm will be Tue Nov 16th, in class. It will be closed book, and
cover everything up to and including Itô's formula. (I will finish this
up in class today and only do examples / review before the midterm).

The exam will cover everything we have done so far in class. I will not
ask proofs. The proofs I do in class, or ask you to do on the homework
are only to help you understand the material better. All questions on
your midterm will ask you to "compute something", and will have a clear
answer (either numerical or symbolic).

I have put up the midterms from the last two years online. As you can
see from them, there are a few questions that you can do directly from
the basics (compute conditional expectations, Itô decomposition,
quadratic variation, etc.). There is usually a question or two that
requires you to think creatively before you can do the computation.

Please note: In previous years, I did not do the Binomial model in this
course. Accordingly previous years exams do not have the Binomial model
on it; your exam may have a question involving the Binomial model.

I will put an *OPTIONAL* homework up on Thursday; this only has practice
problems to help you get a feel for using Itô's formula and related
material.

I have also put up solutions to previous years midterms. I strongly
recommend you DON'T look at them, and try the midterms yourself in a
mock exam setting, and then check your answers later.

In previous years many students underestimated the midterm, partly
because looking at previous midterms in the comfort of your own home,
with no time limit, access to solutions, friends who know the material
and the internet makes it easier. Your midterm will be closed book, in
class with a time limit. I hope my email is sufficient warning that you
won't underestimate the midterm.

Best,

Gautam

-- 
They say hard work never hurt anybody, but why take the chance.