[944] Midterm

[Gautam Iyer via mscf-944]

Dear All,

We have a midterm on Tue Nov 15th, in class. It will be closed book
exam.

Syllabus: The exam will cover everything we have done in class, up to
and including Itô's formula. I will do a few more examples of Itô's
formula in class on Tuesday, and then I will spend Thursday doing a
review.

Calculators: Please bring a calculator to the exam. I will follow the
same policy recommended by other MSCF math instructors. Your calculator
must not have electronic communications capabilities, can not access the
internet, and can not read / store document files. (If you don't have a
calculator, please buy one. Simple calculators are available online for
about $10; probably you can get them for a similar price in local stores
as well.)

The main goal of the exam is to give you an idea of how well you
understand the material. With mathematical courses such as this one, one
common trap is believing you understand the material because you can
follow along in lecture, or read the books / notes. This is very
different from being able do problems yourself! So I strongly recommend
you practice doing problems, without looking at the solutions.

There will be no proofs on the exam. All proofs I do, or ask you to do
on homework, are only to help you understand the material. All questions
on your midterm will ask you to "compute something", and will have a
clear answer (either numerical or symbolic).

The questions on the exam will not be repeats of problems you've seen
before; but will use ideas you've seen before. Since the midterm only
tests a few basic tools, students usually find it easier to do well on
the midterm in comparison to the final. For example, last year about
half the class got an A on the midterm, but only about 40% got an A on
the final. (This is just for your information only: There are no grade
quotas; if your performance on the exam demonstrates a solid
understanding of the required material, you will get an A. I recall one
year where almost 60% of the students ended with an A- or higher.)

For you to practice:

    1. I will put up midterms and solutions from the last three years on
       this years website. (If you want more midterms, you can go to
       last years website and look at the midterms from there. I won't
       put up those solutions though. Also the syllabus of this course
       was different in 2020, and didn't include the Binomial model.)

    2. On Thursday (after HW3 is due), I will put up an optional
       homework. While this homework will not be due, the problems are
       good practice, and some of them will be on the next homework (due
       Nov 22).

As you can see from previous exams, 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 some thought on how to do the computation. (For
example, look at question 3 on last years midterm: A brute force
computation will get you the answer, but will take an unreasonably long
amount of time. But a few minutes of thinking gives a short and elegant
solution.)

Office hours next week are the same; though I have to leave a bit early
after class on Tuesday, so I may not be able to take too many questions.
On Thursday, I will teach from New York. I will be in the NY office
until about 3PM so if you have questions you can stop by after lunch.

The week of the midterm we will hold office hours on Monday at a time
that will be announced shortly.

Best,

Gautam


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