PREVIOUS YEAR SITE: 18.600 Probability and Random Variables, Fall 2019
Lectures: MWF 2-3 in 10-250
Office hours: Wednesday 3:00 to 5:00 in 2-249
TA Recitations: Problem solving recitations each Thursday (starting September 12)
Piotr Suwara: Thursdays 12:00-1:00 in 66-144
Minjae Park: Thursdays 2:00-3:00 in 4-270
Youn Kim: Thursdays 4:00-5:00 in 4-163
TA office hours: after recitations on Thursdays plus additional Monday/Tuesday hours (starting September 9)
Piotr Suwara: Tuesdays 4:00-5:00 in 2-242 and Thursdays 1:00-2:00 in 26-210
Minjae Park: Mondays 3:00-4:00 in 2-341 and Thursdays 3:00-4:00 in 2-361
Youn Kim: Thursdays 5:00-7:00 om 2-361
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" 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: December 16, 1:30 to 4:30 in 10-250. 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 September 13 (students who registered late may submit the first problem set on September 23)
Problem Set Two, due September 23 (Note: other psets due on Fridays, but this one due Monday since no class Friday, Sep. 20.)
Spring 2011 midterm on Chapters 1-4 (plus 9.1) with solutions. Fall 2011 midterm 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. Spring 2017 midterm with solutions. Spring 2018 midterm with solutions. Spring 2019 midterm with solutions.
Spring 2011 second midterm 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. Spring 2017 second midterm with solutions. Spring 2018 second midterm with solutions. Second Spring 2019 Midterm with solutions.
Problem Set Ten, due December 6 (see this short martingale note for supplemental reading)
Thanksgiving Break
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, but that are part of this course)
Practice Final Problems (covering only later portion of the course) with partial solutions. Spring 2011 final with solutions. Fall 2012 final with solutions. Spring 2014 final with solutions. Spring 2016 final with solutions. Spring 2017 final with solutions. Spring 2018 final with solutions. Spring 2019 Final Exam with solutions.