Commit e71da189 authored by GI's avatar GI

added teaching files

parent e7455952
......@@ -89,7 +89,7 @@
<th scope='row'>
Office Hours (instructor)</th>
<td>
TBA
Mon 3:30--4:20
</td>
</tr></tbody><tbody>
<tr>
......@@ -102,7 +102,7 @@
ahagerty@andrew.cmu.edu.</span></td>
</tr><tr>
<th scope='row'>Office Hours (TA)</th>
<td>TBA</td>
<td>Tu 4:00--5:00, Fri 4:00--5:00</td>
</tr><tr>
<th scope='row'>Recitation</th>
<td>Tu 4:30--5:20 in
......@@ -114,10 +114,10 @@
<td>Wednesdays, at the <b>beginning</b> of class. <span class="text-danger">Late homework will not be accepted</span></td>
</tr><tr>
<th scope='row'>Midterm 1</th>
<td>Mon, Feb 27 <span class="text-warning">(tentative)</span></td>
<td>Wed, Feb 22 (in class)</td>
</tr><tr>
<th scope='row'>Midterm 2</th>
<td>Mon, Apr 10 <span class="text-warning">(tentative)</span></td>
<td>Wed, Apr 5 (in class)</td>
</tr><tr>
<th scope='row'>Final</th>
<td>TBA</td>
......@@ -165,12 +165,15 @@ Here are a few references of varying levels of difficulty.
Choose whatever works best for you.</p>
<ul>
<li><a class="wikilink" href="http://localhost:8000/teaching/2015-16/268-multid-calc/pdfs/brief-notes.pdf">Brief notes for 268</a>.
<span class='small'>(In 268, less attention was paid to proofs. A lot of these gaps will be filled in in this course, and more material will be covered.)</span></li>
<li><em>Advanced Calculus (5th Edition)</em> by Wilfred Kaplan.</li>
<li><em>Introduction to Analysis</em> Maxwell Rosenlicht. (Bit old, but cheap Dover book and pretty good.)</li>
<li><em>Vector Calculus, Linear Algebra, and Differential Forms: A Unified Approach</em> by Hubbard and Hubbard.</li>
<li><em>Multivariable Mathematics: Linear Algebra, Multivariable Calculus, and Manifolds</em> by Shifrin.</li>
<li><em>Principles of Mathematical Analysis</em> by W. Rudin</li>
<small>(In 268, less attention was paid to proofs. A lot of these gaps will be filled in in this course, and more material will be covered.)</small></li>
<li><a href="https://www0.maths.ox.ac.uk/system/files/coursematerial/2015/3063/3/mvc.pdf">Lecture Notes on Multivariable Calculus</a> by Barbara Niethammer and Andrew Dancer.
<small>(This covers the differential calculus portion of this class.)</small></li>
<li><a class="wikilink" href="http://localhost:8000/teaching/2016-17/269-vector-analysis/pdfs/giovanni-2015.pdf">Lecture notes</a> by Giovanni Leoni.
<small>(This covers limits, continuity and the differential calculus portion of the class.)</small></li>
<li><em>Introduction to Analysis</em> Maxwell Rosenlicht.
<small>(Bit old, but cheap Dover book and pretty good.)</small></li>
<li><em>Principles of Mathematical Analysis</em> by W. Rudin
<small>(Excellent &ldquo;classic&rdquo; and cheap.)</small></li>
</ul>
<h2 id="class-policies">Class Policies</h2>
<h3 id="lectures">Lectures</h3>
......@@ -234,10 +237,18 @@ Choose whatever works best for you.</p>
</div>
</nav>
<div id='hw-handouts' class='row small'>
<div class='col-md-12 col-sm-6'>
<h4 class='hidden-xs hidden-sm'>Homework and Solutions</h4>
<h2 class='hidden-md hidden-lg'>Homework and Solutions</h2>
<ul>
<li><a class="wikilink" href="http://localhost:8000/teaching/2016-17/269-vector-analysis/pdfs/hw-page1.pdf">Assignment 1</a></li>
</ul>
</div>
<div class='col-md-12 col-sm-6'>
<h4 class='hidden-xs hidden-sm'>Handouts</h4>
<h2 class='hidden-md hidden-lg'>Handouts</h2>
<ul>
<li><a class="wikilink" href="http://localhost:8000/teaching/2016-17/269-vector-analysis/schedule.html">Lecture Schedule</a></li>
<li><a class="wikilink" href="http://localhost:8000/teaching/2015-16/268-multid-calc">268 website (2015)</a></li>
<li><a href="https://www.math.cmu.edu/~gautam/teaching/2011-12/269-vector-analysis/">269 website (2012)</a></li>
</ul>
......
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<li><a href='http://localhost:8000/teaching/2016-17/269-vector-analysis/index.html'>Math 269: Vector Analysis</a></li>
<li class='active'>Lecture Schedule</li>
</ul>
<div class='justify'>
<h1>
Lecture Schedule
</h1>
<p>Here is a list of topics that are covered in class, in the order they were covered.</p>
<h2 id="limits">Limits</h2>
<ul>
<li>Distance in <script type="math/tex">\R^d</script>.</li>
<li>
<script type="math/tex">\varepsilon</script>-<script type="math/tex">\delta</script> definition of limits</li>
<li>Uniqueness, sums and products.</li>
<li>Continuity. Continuity of composites.</li>
<li>Open sets and domains.</li>
</ul>
<h2 id="intermediate-and-extreme-value-theorems">Intermediate and Extreme value theorems</h2>
<ul>
<li>Sequences</li>
</ul>
</div>
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<div class='col-md-3' id='col-right'>
<div data-affix-after='#create'>
<nav class='nav hidden-xs hidden-sm'><div id='toc'>
<div class="toc">
<ul>
<li><a href="#limits">Limits</a></li>
<li><a href="#intermediate-and-extreme-value-theorems">Intermediate and Extreme value theorems</a></li>
</ul>
</div>
</div>
</nav>
<div id='hw-handouts' class='row small'>
<div class='col-md-12 col-sm-6'>
<h4 class='hidden-xs hidden-sm'>Homework and Solutions</h4>
<h2 class='hidden-md hidden-lg'>Homework and Solutions</h2>
<ul>
<li><a class="wikilink" href="http://localhost:8000/teaching/2016-17/269-vector-analysis/pdfs/hw-page1.pdf">Assignment 1</a></li>
</ul>
</div>
<div class='col-md-12 col-sm-6'>
<h4 class='hidden-xs hidden-sm'>Handouts</h4>
<h2 class='hidden-md hidden-lg'>Handouts</h2>
<ul>
<li><a class="wikilink" href="http://localhost:8000/teaching/2016-17/269-vector-analysis/schedule.html">Lecture Schedule</a></li>
<li><a class="wikilink" href="http://localhost:8000/teaching/2015-16/268-multid-calc">268 website (2015)</a></li>
<li><a href="https://www.math.cmu.edu/~gautam/teaching/2011-12/269-vector-analysis/">269 website (2012)</a></li>
</ul>
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This site is licensed under the <a rel="license" href="http://creativecommons.org/licenses/by-nc-sa/4.0/">Creative Commons BY-NC-SA 4.0 License</a>.
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......@@ -89,7 +89,7 @@
<th scope='row'>
Office Hours (instructor)</th>
<td>
TBA
Wed 3:00--4:30pm
</td>
</tr></tbody><tbody>
<tr>
......@@ -102,10 +102,10 @@
yanx1@andrew.cmu.edu.</span></td>
</tr><tr>
<th scope='row'>Office Hours (TA)</th>
<td>TBA</td>
<td>Thu 3:30--5:00</td>
</tr><tr>
<th scope='row'>Recitation</th>
<td>Fri (time TBA) in POS 145 (Pittsburgh), telecast in TPR NY1 (New York).</td>
<td>Fri 2:30--4:00 in POS 145 (Pittsburgh), telecast in TPR NY1 (New York).</td>
</tr></tbody>
<tbody><tr>
<th scope='row'>Homework Due</th>
......@@ -164,31 +164,6 @@ This is done in the context of risk neutral measures and the fundamental theorem
<li><a href="http://www.springer.com/us/book/9780387401010">Stochastic Calculus for Finance II</a> by Steven Shreve.
<em>(We will cover roughly the first five chapters.)</em></li>
</ul>
<h3 id="tentative-schedule">Tentative Schedule</h3>
<ul>
<li><strong>Week 1.</strong> <em class='small'>(There is a makeup class Fri 1/20)</em><ul>
<li>Rapid review of probability.</li>
<li>Conditional expectation, Martingales, and Markov processes</li>
<li>Scaled random walks and Brownian motion</li>
</ul>
</li>
<li><strong>Week 2.</strong> <em class='small'>(I will lecture from NY on Mon, Jan 23)</em><ul>
<li>Properties of Brownian motion (quadratic variation, Markov property, etc.)</li>
<li>Itô integrals</li>
</ul>
</li>
<li><strong>Week 3.</strong><ul>
<li>Itô formula</li>
<li>Black Scholes Merton equation</li>
<li>Multi variable stochastic calculus</li>
</ul>
</li>
<li><strong>Week 4.</strong><ul>
<li>Midterm reivew</li>
<li>Midterm</li>
</ul>
</li>
</ul>
<h2 id="class-policies">Class Policies</h2>
<h3 id="lectures">Lectures</h3>
<ul>
......@@ -211,8 +186,11 @@ This is done in the context of risk neutral measures and the fundamental theorem
<li>Solutions will usually be posted 48 hours after the homework deadline.
Due to holidays or exams solutions to some assignments might post earlier.
In this case, you will be notified of this in advance, and late homework <strong>will not</strong> be accepted after solutions have been posted.</li>
<li>If you are unable to attend class you may have a friend turn in your homework. Alternately, you may scan and email a <em>high quality</em> PDF to your TA. <em>Photos of your homework will not be accepted.</em> You <strong>may not</strong> turn in homework by putting it in one of our mailboxes or under our doors.</li>
<li>You may collaborate on the homework, however, you may only turn in solutions which you fully understand and have written up independently. Violation of this policy will be treated seriously according to procedures in the <a href="https://www.cmu.edu/mscf/files/2016-2017%20MSCF%20Handbook.pdf">MSCF student handbook</a>.</li>
<li>You can choose how you want to turn in your homework: Physically to me, in class, or by scanning it and uploading it on blackboard.
Please ensure your scans are a <em>high quality</em> PDF, as <em>photos of your homework will not be accepted.</em>
You <strong>may not</strong> turn in homework by putting it in one of our mailboxes or under our doors.</li>
<li>You may collaborate on the homework, however, you may only turn in solutions which you fully understand and have written up independently.
Violation of this policy will be treated seriously according to procedures in the <a href="https://www.cmu.edu/mscf/files/2016-2017%20MSCF%20Handbook.pdf">MSCF student handbook</a>.</li>
</ul>
<h3 id="exams">Exams</h3>
<ul>
......@@ -242,7 +220,6 @@ This is done in the context of risk neutral measures and the fundamental theorem
<li><a href="#course-description">Course Description</a><ul>
<li><a href="#prerequisites">Prerequisites</a></li>
<li><a href="#text-book">Text Book</a></li>
<li><a href="#tentative-schedule">Tentative Schedule</a></li>
</ul>
</li>
<li><a href="#class-policies">Class Policies</a><ul>
......@@ -261,7 +238,8 @@ This is done in the context of risk neutral measures and the fundamental theorem
<h4 class='hidden-xs hidden-sm'>Homework and Solutions</h4>
<h2 class='hidden-md hidden-lg'>Homework and Solutions</h2>
<ul>
<li><a class="wikilink" href="http://localhost:8000/teaching/2016-17/944-scalc-finance1/pdfs/hw-page1.pdf">Assignment 1</a></li>
<li><a class="wikilink" href="http://localhost:8000/teaching/2016-17/944-scalc-finance1/pdfs/hw-page2.pdf">Assignment 2</a></li>
<li><a class="wikilink" href="http://localhost:8000/teaching/2016-17/944-scalc-finance1/pdfs/hw-prev.pdf">Previous assignments</a></li>
</ul>
</div>
<div class='col-md-12 col-sm-6'>
......@@ -271,11 +249,13 @@ This is done in the context of risk neutral measures and the fundamental theorem
<li>Brief Notes<ul>
<li><a class="wikilink" href="http://localhost:8000/teaching/2016-17/944-scalc-finance1/pdfs/ch1-intro.pdf">Introduction</a></li>
<li><a class="wikilink" href="http://localhost:8000/teaching/2016-17/944-scalc-finance1/pdfs/ch2-bm.pdf">Brownian Motion</a></li>
<li><a class="wikilink" href="http://localhost:8000/teaching/2016-17/944-scalc-finance1/pdfs/ch3-int.pdf">Stochastic Integration</a></li>
<li><a class="wikilink" href="http://localhost:8000/teaching/2016-17/944-scalc-finance1/pdfs/notes.pdf">All chapters</a>
(and <a href="https://gitlab.com/gi1242/cmu-mscf-944">TeX Source</a>)</li>
<li><a class="wikilink" href="http://localhost:8000/teaching/2016-17/944-scalc-finance1/pdfs/notes-tablet.pdf">All chapters (tablet version)</a></li>
</ul>
</li>
<li><a class="wikilink" href="http://localhost:8000/teaching/2016-17/944-scalc-finance1/scanned.html">Scanned lecture notes</a></li>
<li><a href="https://tepper.instructure.com/courses/43672">Stochastic Calculus Self Study</a></li>
</ul>
</div>
......
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Scanned lecture notes
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<li><a href='http://localhost:8000/teaching/2016-17/944-scalc-finance1/index.html'>46-944: Stochastic Calculus for Finance 1</a></li>
<li class='active'>Scanned lecture notes</li>
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<div class='justify'>
<h1>
Scanned lecture notes
</h1>
<p>These are scans of everything I write on the document camera each lecture.
If the handwriting is illegible in places, I recommend correlating it with the video or the typed notes.</p>
<ul>
<li><a class="wikilink" href="http://localhost:8000/teaching/2016-17/944-scalc-finance1/pdfs/lec/20170118.pdf">Lecture 1 (2017-01-18)</a></li>
<li><a class="wikilink" href="http://localhost:8000/teaching/2016-17/944-scalc-finance1/pdfs/lec/20170120.pdf">Lecture 2 (2017-01-20)</a></li>
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<div data-affix-after='#create'>
<div id='hw-handouts' class='row small'>
<div class='col-md-12 col-sm-6'>
<h4 class='hidden-xs hidden-sm'>Homework and Solutions</h4>
<h2 class='hidden-md hidden-lg'>Homework and Solutions</h2>
<ul>
<li><a class="wikilink" href="http://localhost:8000/teaching/2016-17/944-scalc-finance1/pdfs/hw-page2.pdf">Assignment 2</a></li>
<li><a class="wikilink" href="http://localhost:8000/teaching/2016-17/944-scalc-finance1/pdfs/hw-prev.pdf">Previous assignments</a></li>
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<h4 class='hidden-xs hidden-sm'>Handouts</h4>
<h2 class='hidden-md hidden-lg'>Handouts</h2>
<ul>
<li>Brief Notes<ul>
<li><a class="wikilink" href="http://localhost:8000/teaching/2016-17/944-scalc-finance1/pdfs/ch1-intro.pdf">Introduction</a></li>
<li><a class="wikilink" href="http://localhost:8000/teaching/2016-17/944-scalc-finance1/pdfs/ch2-bm.pdf">Brownian Motion</a></li>
<li><a class="wikilink" href="http://localhost:8000/teaching/2016-17/944-scalc-finance1/pdfs/ch3-int.pdf">Stochastic Integration</a></li>
<li><a class="wikilink" href="http://localhost:8000/teaching/2016-17/944-scalc-finance1/pdfs/notes.pdf">All chapters</a>
(and <a href="https://gitlab.com/gi1242/cmu-mscf-944">TeX Source</a>)</li>
<li><a class="wikilink" href="http://localhost:8000/teaching/2016-17/944-scalc-finance1/pdfs/notes-tablet.pdf">All chapters (tablet version)</a></li>
</ul>
</li>
<li><a class="wikilink" href="http://localhost:8000/teaching/2016-17/944-scalc-finance1/scanned.html">Scanned lecture notes</a></li>
<li><a href="https://tepper.instructure.com/courses/43672">Stochastic Calculus Self Study</a></li>
</ul>
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