Lectures: MWF 2-3 in 10-250
Office hours: Wednesday 3:00 to 5:00 in 2-249
TAs: Cesar Cuenca and Evgeni Dimitrov (recitations and TA office hours start on February 16)
Recitations: Both TAs will offer optional problem solving recitations, followed by officer hous, each Thursday.
Evgeni Dimitrov's recitation: Thursday 12:00 to 1:00 in 2-135
Evgeni Dimitrov's office hours: Thursday 1:30 to 3:30 in 2-449
Cesar Cuenca's recitation: Thursday 4:00 to 5:00 in 2-139
Cesar Cuenca's office hours: Thursday 5:00 to 7:00 in 2-139
Text: A First Course in Probability, by Sheldon Ross. I use the 8th edition, but students are welcome to use 6th, 7th, or 9th editions as well. Both hard copies and electronic versions can be obtained inexpensively online by looking up "first course in probability" at via google, amazon, ebay, etc. (Here's another free and fun book.)
Assignments: 10 problem sets (20%), 2 midterm exams (40%), 1 final exam (40%)
Final exam: Wednesday, May 24 from 1:30 to 4:30 PM in Rink.. Check registrar posting for updates.
Gradebook: managed on Stellar course web site
Numbering note: Until spring 2015, the course now called 18.600 was called 18.440. It was renamed as part of a departmental effort to make course labels more logical. The current label conveys that 18.600 is a foundational class and a starting point for the 18.6xx series.
Story sheet: Exams are closed book without cheat sheets, but this story sheet (which is basically what a cheat sheet for this course would look like if there were one) may help you study. Math fluency requires knowing at least few things by heart: Pythagorean theorem, definition of sine, etc. The red items on the story sheet are things students should know (or be able to quickly derive) by the end of the course: the "basic discrete random variables" by the first midterm, and the "basic continuous random variables" and "moment generating and characteristic function" facts by the second midterm. Try to learn the story that goes with each concept while it is being covered. Some of these items are pretty easy to remember (or deduce from basic principles) once you have the concepts down.
Merged lectures: Here is a printable pdf file containing a preliminary version of all of the lectures for the course. You can print this out and take notes on it during lecture if this is helpful. (I left outline pages in, so there should be room for notes there.) Note that if changes are made to the slides during the semester, they won't necessarily be updated on this document.
TENTATIVE SCHEDULE
Problem Set One, due February 17 (students who have registered late may submit the first problem set on February 24)
Practice Midterm Exam with partial solutions. 2009 Midterm One With Solutions. Spring 2011 midterm exam on Chapters 1-4 (plus 9.1) with solutions. Fall 2011 midterm exam on Chapters 1-4 (plus 5.1-5.4 and 9.1) with solutions . Fall 2012 midterm with solutions. Spring 2014 Midterm with solutions. Spring 2016 midterm with solutions.
Practice Midterm Exam Two with partial solutions and 2009 Midterm Two with solutions . Spring 2011 Second midterm exam on 1-7 (plus 9.1) with solutions. Fall 2011 second midterm with solutions. Fall 2012 second midterm with solutions. Spring 2014 second Midterm with solutions. Spring 2016 second midterm with solutions.
Problem Set Ten, due May 12 (see this short martingale note for supplemental reading)
Lecture Notes for 34 to 36 which follow the outline of the lecture slides and cover martingales, risk neutral probability, and Black-Scholes option pricing (topics that do not appear in the textbook)
Practice Final Problems (covering only later portion of the course) with partial solutions and Spring 2011 Final with solutions and Fall 2012 Final with solutions . Spring 2014 Final with solutions. Spring 2016 Final exam with solutions.
Spring 2017 Final exam with solutions. Wednesday, May 24 from 1:30 to 4:30 PM in Rink.