| 5/21/2021 |
Hello all,
I have graded the final exams and determined your letter grade.
The results are available on Blackboard
and, for the final, on the anonymous grades page.
I have populated four new columns:
•
QSum = sum of quizzes 1--10
•
TOTAL = QSum + the three exams
•
TOTALadj = a boost of 50 points
•
Grade = the resulting letter grade based on the grading scale of
the home page of this website.
I hope you are happy with your grades and I wish you all the best of luck
for your future, academic, professional, and otherwise.
It was my privilege to be your instructor for this class.
-- Michael Fochler --
|
| 5/14/2021 |
New version 2021-05-17 with very skeletal new chapters 14.2 and 14.3.
b.
Reminder that today's lecture will not discuss any material that will be
on the final exam.
c.
Your video MUST BE TURNED ON when you take the final exam.
d.
I keep getting inquiries of some of you who are concerned about what
their grade will be and I cannot say more now than I told you on more than
one occasion:
There will be a curve but what it will be I will only know once I have
graded the final exam.
I have to ask you for your patience.
Since that curve will depend to a large extent on your relative standing
in comparison to your peer you will get some indication from the anonymous
grades page.
e.
The solution for quiz 10 has been posted.
I found out during grading that I had made a logic error in the problem
so I decided to give each one of you full credit.
|
| 5/14/2021 |
a.
Scope of Quiz 10: chapter 14.
b.
I have posted the recordings (two parts) of yesterday's review session.
|
| 5/14/2021 |
a.
Reminder: Quiz 10 on Monday, 10/17 and the final exam on Wednesday, 10/19 @8:00 PM.
Bring your equipment in order NOW! You must have your camera turned on!
b.
Finals review sesson Sunday @12:30.
c.
Lecture recordings are up-to-date.
|
| 5/12/2021 |
a.
MF454 ver 2021-05-12 has been published.
Reorg of ch.14 + new Remark 14.1 about Feynman-Kac and application to finance.
Study that one extra carefully!
|
| 5/12/2021 |
a.
Lecture recordings are up-to-date.
b.
The final review session will be on Sunday at 12:30 PM.
I will record it.
c.
MF454 ver 2021-05-11 has been published.
It contains a brief ch.14 which covers some of the theoretical items of SCF2 ch.6.
|
| 5/9/2021 |
a.
Lecture recordings are up-to-date.
b.
The final will be cumulative, and the most important thing for you to understand
is what processes are martingales and how that helps you with your assignment.
Quizzes 8 and 9 are good examples. They really were almost the same.
c.
Will there be extra credit assignments?
The answer is NO.
d.
Will there be a curve?
I announced this repeatedly:
The answer is YES but I will only know after the final exam what it will look like.
|
| 5/8/2021 |
a.
Solution to quiz 9 has been posted.
b.
When do you want your finals review?
If I can get it to work then I'll use the Zoom vote feature
at the start of Monday's lecure.
I may not be able to accommodate all of you,
so there will be a Zoom recording.
|
| 4/30/2021 |
a.
HW 12 has been published.
b.
Quiz dates:
Quiz 9 on Fri May 7, quiz 10 on Mon May 17.
c.
Finals review session
on the weekend of May 15-16 during one of the
following six potential time slots:
•
Saturday morning
•
Saturday mid-day
•
Saturday afternoon
•
Sunday morning
•
Sunday mid-day
•
Sunday afternoon
d.
Lecture recordings are up-to-date.
|
| 4/28/2021 |
Quiz 8 has been graded and the solutions are on the course materials page
|
| 4/28/2021 |
a.
MF454 ver 2021-04-28 has been published.
Now covers SCF2 ch.5 through all of ch.5.3.
Also fixes the Girsanov integrability error mentioned in the
4/26 announcement.
b.
Reminder: Quiz 8 will be given today.
|
| 4/27/2021 |
a.
Scope of quiz 08: SCF2 ch.5.2.2-5.2.3.
b.
Lecture recordings are current.
|
| 4/26/2021 |
a.
Midterm 2 solutions have been published.
b.
MF454 notes: Made an error most of the time when stating the Girsanov integrability
condition. An update should come some time tomorrow.
c.
There will be a zuiz on Wednesday, 4/28. Scope to be announced.
|
| 4/26/2021 |
a.
MF454 ver 2021-04-25 has been published.
Started new ch.12 on Black--Scholes.
c.
HW11 has been republished with written assignments.
|
| 4/23/2021 |
a.
MF454 ver 2021-04-23 has been published.
New ch.11 on Girsanov's Theorem.
c.
HW11 has been published. No written assignments yet.
c.
Lecture recordings are up-to-date.
|
| 4/15/2021 |
a.
MF454 ver 2021-04-21 has been published.
New ch.10 on multidimensional stochastic calculus.
b.
Lecture recordings are up-to-date.
|
| 4/15/2021 |
The second midterm has been graded and the anonymous grades have been posted.
One of your classmates is ill with Covid and the make-up exam may be given as late as
Monday morning.
I cannot let you view your results before that make-up has been done.
|
| 4/15/2021 |
a.
MF454 ver 2021-04-17 has been published.
b.
Solutions for quiz 7 also have been posted.
c.
Quiz 7 has been graded.
|
| 4/15/2021 |
HW 10 has been published. No written assignments yet.
|
| 4/14/2021 |
a.
Another change to HW 9: I forgot to update the actual assignment 1:
The stock price at time t=5 (NOT at time T=10) is $85!
b.
I'll make this official: Quiz 7 will definitely be about you using
the Drexel U software to answer questions similar to assignment 1
of HW 9!
|
| 4/14/2021 |
a.
Corrections to HW 9 were made several times on 4/14. Last one ~~6:45 PM.
b.
Lecture recordings are up-to-date
|
| 4/14/2021 |
a.
Written assignments have been added to HW 9.
Important for midterm and quiz 7!
b.
Please ignore p.146 and the top of p.147
(before ch.9.4: Miscellaneous Notes about Finance Definition).
That's just junk.
|
| 4/9/2021 |
a.
Solutions for quiz 6 have been published.
b.
Lecture recordings are up-to-date
c.
Scope for Friday's quiz 7 will be SCF2 ch.4.5 and ch.4.6.1-4.6.2.
d.
Scope for Monday's midterm will be MF454 ch.7-9
plus SCF2 ch.4.5 and ch.4.6.1-4.6.2.
|
| 4/9/2021 |
MF454 ver 2021-04-11 has been published. New chapter 9!
|
| 4/9/2021 |
a.
HW 9 has been published. No written assignments yet.
b.
Quiz 6 grades are available on BB and anonymously on the grades page.
c.
Lecture recordings are up-to-date
|
| 4/8/2021 |
a.
Quiz 6 will be given tomorrow, Fri, April 8.
You will be asked to use the Ito formula to compute the dynamics
of a process Xt and explain why Xt is a martingale.
b.
Lecture recordings are up-to-date
c.
HW 9 will be published later today.
|
| 4/5/2021 |
a.
Quiz 5 results now on BB and on the grades page.
Solutions on course materials page.
b.
Lecture recordings are up-to-date
|
| 4/3/2021 |
a.
MF454 ver 2021-04-03 has been posted.
Ch.8 now contains exercises to be done in HW 8.
b.
HW 8 now has exercises. See above.
|
| 4/3/2021 |
a.
HW 8 has been posted.
Written problems will be added later today.
b.
There will be a quiz on Monday.
Scope: MF ch.8. Get lots of practice with the Ito formula
in differential form: Understand the multiplication table for dt, dWt,
and dXt for Ito processes Xt.
|
| 4/1/2021 |
MF454 ver 2021-04-01 has been posted.
New ch.8 on 1-dimensional stochastic calculus.
|
| 3/31/2021 |
Lecture recordings are up-to-date
|
| 3/25/2021 |
a.
Quiz 4 has been graded. Anonymous results are also available on the corse website.
*** Those of you whom I promised I would count #4 for #2 must contact me
so I can update my records!
b.
HW 7 has been posted.
|
| 3/24/2021 |
All lecture recordings are up-to-date
|
| 3/22/2021 |
Written assignments have been added to HW 06.
|
| 3/21/2021 |
MF454 ver 2021-03-21 has been posted.
|
| 3/19/2021 |
a.
HW6 has been posted. No writtena assignments yet.
b.
Today's lecture has been posted.
on the course materials page.
c.
MF454 ver 2021-03-18 was posted earlier today.
|
| 3/15/2021 |
Midterm 1: More points about file submissions:
•
You can combine your work into one single upload but you may have
issues if a single picture consumes 1MB or even more. Adjust your settings NOW!
•
Every page requires clearly visible your name and where each problem starts.
•
If a problem is continued on another page then mark that clearly as
"#8 cont'd" or "#9, part 2", or ...
•
You have 65 minutes total, including the time for the file uploads.
Since the exam starts at 3:30 ....
•
.... you will incur penalties for emails dated past 4:38 PM
(unless they are backups for work submitted already on BB)
|
| 3/14/2021 |
a.
Tomorrow's exam will be released at 3:30 and you have 65 minutes.
That includes 5 extra minutes to take pictures.
You can either upload your pictures to BB or email the pictures to me.
The only permissible file formats are PDF, jpg (= jpeg) and png,
in particular, I will not accept HEIC format.
I suggest you do not set the picture quality to highest: a size of 300 K for one page
is plenty, and smaller file size means less problems with uploading.
Scope: All you can find in MF454 ver 2021-03-11 will be covered.
(Of course nothing that has been tagged as optional material.)
That includes the one period binomial model (Chapter 6.2.1) through Proposition 6.5
although I stopped Wednesday's lecture at Definition 6.6.
In return for asking you to study those two additional pages
I go on record about two things.
•
you will not be quizzed on the material in Chapter 6.1,
Basic Definitions about Financial Markets.
You only have to know what that material means in the context of the one period model.
•
One of the problems will definitely be taken from Chapter 6.2.1.
Spend some time on reviewing that material!
You must have your web cams turned on during the exam. No exceptions!
Hook up your cell phones to Zoom if your webcam is not working!
In that case send me an email BEFORE you need to disconnect your cell phone
to take pictures of your work.
You better be finished with your exam within 5 minutes of disconnecting your cell phone.
b.
Friday's lecture link is now available.
|
| 3/11/2021 |
a.
Quiz #3 results are now on BB and the anonymous grades page.
In BB: The official column is the one called >>Quiz 3<<, NOT the one
which has your actual submissions (the values should match though).
Those of you who joined late will have a matching grade in the quiz 1 column.
Be sure to verify!
b.
Wednesday's lecture link is now available.
c.
MF454 ver. 2021-03-11 and HW 5 have been published.
No written assignments for HW 5 yet.
|
| 3/9/2021 |
a.
MF454 v.2021-03-09 has been posted.
Changes are mostly confined to ch.6 and 7.1.
b.
Quiz #3 will be given on Wed March 10.
Also note that that lecture is the cutoff (up to epsilon)
for the material you have to expect on next week's exam.
c.
Lectures for yesterday and today have been posted
|
| 3/6/2021 |
Today's lecture has been posted.
|
| 3/6/2021 |
a.
Friday's and Tuesday's lectures have been posted.
b.
Some solutions have been added to HW2 and HW3.
|
| 3/5/2021 |
a.
The dates for the final exam and the makeup exam have been set:
Final exam: Wed May 19, 2021 @08:00 AM - 10:00 AM On-Line,
Final exam makeup: Thu May 20, 2021 @10:25 AM - 12:25 PM On-Line
b.
MF454 v.2021-03-04 has been posted.
c.
HW4 has been posted. No written assignments yet!
|
| 3/4/2021 |
Wednesday's lecture has been posted.
|
| 3/3/2021 |
MF454 v.2021-03-03 has been posted.
|
| 3/2/2021 |
Monday's lecture has been posted.
|
| 3/1/2021 |
MF454 v.2021-03-01 has been posted.
|
| 2/26/2021 |
Today's lecture has been posted.
|
| 02/25/2021 |
HW 03 has been posted.
|
| 02/25/2021 |
a.
Yesterday's lecture has been posted.
The Zoom links for next week's lectures and office hours will be posted
before 11:00 AM.
b.
HW03 will be forthcoming later.
c.
MF454 v.2021-02-25 has been posted.
Be sure to review the addenda to ch.4. They contain items that belong into
earlier chapters but are put there for now to draw your attention.
|
| 02/23/2021 |
a.
The grades for quiz 2 have been uploaded to BB and, anonymously,
to the grades page of the 454 course website. I have only graded problem 1
but split the points over both problem 1 and 2.
b.
Most of you got 7+7=14 points for just using Riemann integration to evaluate,
even though intersection with the rationals means that the lower Riemann sum
is zero and the Riemann integral does not exist.
Correct solution: zero since f(x) is not zero only on countably many points
and Lebesgue measure of a single point is zero.
c.
Today's lecture recording has been posted.
|
| 02/21/2021 |
a.
MF454 version 2021-02-21 has been published.
Altered definition of integrability!
Be sure to view def.4.14 on p.54 and that yellow box with a flaming red border
that follows it!
b.
As I announced in class, there will be a quiz on Monday, Feb 22.
Scope is limited to ch.4.2 and 4.3 (all of it!)
You will not have to worry about having points taken off
if you use the “old” definition of integrability.
c.
Those of you who where on the wait list until recently and admitted to
class on or after Tuesday, February 16 need not take quiz 2.
Instead I will apply your quiz 03 grade to quiz 01
and your quiz 04 grade to quiz 02.
My list shows that only those are affected:
•
Yara B.
•
Jaesuk K.
•
Emily L.
•
Sixiang Y.
If you claim that you belong on that list but I erroneously omitted you then
please send an email and I'll check my records.
d.
HW 2 has been republished
with reading assignments for this Friday and written assignments.
|
| 02/20/2021 |
a.
The course materials page is up-to-date as far as Zoom links are concerned.
b.
I will share with you today some observations I have made when grading quiz 1.
c.
A PDF with the solutions for quiz 1 can be downloaded from the course materials page.
d.
MF454 version 2021-02-19 has been published.
|
| 02/19/2021 |
a.
Zoom links for next week's lectures and office hours have been broadcast by email.
b.
I will share with you today some observations I have made when grading quiz 1.
c.
A PDF with the solutions for quiz 1 can be downloaded from the course materials page.
d.
MF454 version 2021-02-19 has been published.
|
| 02/17/2021 |
a.
I have been asked to allot additional time for the quiz to account for
the time you spend on scanning and uploading.
OK, so I added two minutes: The quiz will go live at 4:15 at the day when
it's administered, you have 17 minutes to work on it, but it will shut down
at 4:34 regardless when you started it.
Save frequently and do not wait until the end until you upload your work.
b.
I have published homework assignment 2, to give you time to plan ahead with
the reading but it is not finished yet and I will add to it.
|
| 02/16/2021 |
a.
As you are aware you will have a quiz either tomorrow or Friday,
and it will be worth 25 points.
There will be three problems, each one free form, and you will have 15 minutes.
The quiz will be released 15 minutes before end of lecture
and you cannot afford to start late:
You will not be able to work on the quiz 17 minutes after the release time,
so if you start 5 minutes late you will only have 12 minutes left
before the quiz goes down (for everyone).
b.
Course materials page contains instructions for ALL future Blackboard tests
and a link to today's lecture recording.
|
| 02/14/2021 |
New version 2021-02-14 of MF454 has been published
Most changes are in ch.4.2 and 4.3.
|
| 02/11/2021 |
a.
Homework 1 has been published. No written assignments, but
reading assignments for this week's Friday and
for Monday, Wednesday, Friday of next week.
b.
Please submit homework zero about your background no later than Wednesday,
February 17.
|
| 02/11/2021 |
a.
In case you read this as an email:
Please be aware that I have published an entire website for this course.
Here is the link to the Home page:
http://people.math.binghamton.edu/mfochler/math-454-2021-02/html/math-454-home.html
b.
I have mainly made changes to the course materials page and the schedule.
I will publish lecture notes but quite a bit of the material will be the
handwritten notes that I create when lecturing, especially so during the later
part of the course.
They are titled "Math 454 - Additional Material" and I will reference them
as MF454 or the MF454 doc. Here is the
direct link
.
c.
Homework 1 with reading assignments will be forthcoming.
You are advised to read up on some of the material I take for granted
(chapter 2 of MF454) and SCF2 ch.1.1-1.5 all of which you should know from Math 447.
|
| 11/30/2020 |
a.
The first lecture will be on Friday, February 12.
Don't miss it!
A Zoom link will be emailed to you.
b.
Homework about your math background
(email - see "Homework zero" on the Homework page!)
is due on Monday, February 15,
and so are the reading assignments of homework 1.
c.
The first quiz will be administered as early as Wednesday, February 17.
|