21-370: Week #2

The reading assignment for Week #1 and the reading and homework assignments for Week #2 are now posted. You can follow the links from the Schedule page.

21-370: The Textbook is Available

I've heard reports that the textbook, Stochastic Calculus for Finance I: The Binomial Asset Pricing Model by Steven E. Shreve, is now in stock at the bookstore.

Nature By Numbers

Boing Boing highlights this
Dreamlike animation illustrating Fibonacci sequence, Golden Ratio, and more.

Nash Distinguished Lecture Series

The Duality of Money - Walter Schachermayer

Noted mathematician Walter Schachermayer will give this year's Nash Lecture, titled "The Duality of Money." According to Schachermayer, the dual relationship between goods and their prices is a classical idea in economics. In his lecture, he will discuss current research on duality in modern and complex financial markets. Schachermayer is best known for combining functional analysis and stochastic analysis in the field of financial mathematics. He, with fellow mathematician Freddy Delbaen, proved the Fundamental Theorem of Asset Pricing in its general form. This theorem, first conjectured by economists in the 1970s, explains the relationship between the absence of arbitrage in financial markets and the existence of a probability measure that can be used to price derivative securities. Later, Schachermayer and Carnegie Mellon Professor Dmitry Kramkov established the definitive methodology for using duality to solve the problem of optimal investment in incomplete markets.

The talk will be at 4:30pm on Tuesday, September 7, in the Rashid Auditorium in the Hillman Center.

21-260: Fall 2010

Welcome to 21-260 for the Fall 2010 semester. I'll use this blog as a means to distribute information and notifications for the class. More information can be found on the 21-260 Website. This site has information about lectures, recitations, schedules and more. There is also a Blackboard site for the course. I'll mainly use Blackboard to post grades and distribute solutions. You will also be using the WileyPLUS site to complete some required assignments.

21-241: Final Wrap-Up

Well, we have reached the end of the semester. I've turned in the final grades, and you can all see your final exam grades on Blackboard. I think I've got the Blackboard "Cumulative Average" computing everything correctly (I use a separate spreadsheet to calculate and assign grades). (A few students have discussed issues with some of their homework assignments this semester. I believe I've resolved those issues, but have not changed the Blackboard grades to reflect that.)

The grade cutoffs for the final exam were:

A cutoff - 80
B cutoff - 70
C cutoff - 60
D cutoff - 40

and the grade cutoffs for cumulative averages were:

A cutoff - 82.37
B cutoff - 69.47
C cutoff - 56.58
D cutoff - 40.26

I enjoyed working with you all this semester, and I hope you have a great summer.

21-241: More solutions

I've posted the solutions to the review problems from section 6.3 on the Blackboard site - on the Assignments page with the other solutions.

I will be available in my office tomorrow (Friday) between 11:30 and 1:00 to field any last minute questions, are return any homework that anyone would like to pick up.

21-241: Solutions

I've posted some more solutions on the Blackboard site. Solutions to Exam #2, the makeup for Exam #2 and for HW#15 are now available from the Assignments section of the Blackboard site.

21-241: Grade Cutoffs

I've heard from a few of you asking how to interpret your "Cumulative Average" from the Blackboard gradebook. As you are likely aware, the grade cutoffs for your final averages will depend on the grade cutoffs for each assignment. I average these cutoffs (the same way I compute your averages) to get the cutoffs for final averages.

To interpret your "cumulative average" you should use the following cutoffs, based on the mid-terms and homework to date.

A cutoff - 83.21
B cutoff - 69.29
C cutoff - 55.36
D cutoff - 40.36

The final cutoffs will depend on the grade cutoffs for the final exam. The final cutoffs may be above or below these cutoffs, but probably not by too much.

21-241: Final Exam

I've posted the review page for the final exam. The final will be Friday, May 7 at 5:30pm in UC McConomy.

I'll make solutions available for the review problems from sections 5.6 and 6.3, as these topics were not covered on a regular homework assignment.