Outline and Reading List as pdf file  As a web link.
    To read and print pdf files, you need the Acrobat Reader.  This is a free program.  If you have difficulty retrieving the pdf files, you can pick up paper versions in Room 6, 37 Hillhouse Ave.  It may be possible to put up ordinary html (web page files) for some of these materials eventually, but not until at least the evening of 9/8.
    Adobe web site, to get free Acrobat Reader for pdf files

Answers for Take-Home Final Exam (pdf file) 12/23

Take-Home Final Exam (pdf file) 12/15

Answer to FTPL exercise and new assignment (pdf file) 12/3

Exercise Due 11/30, with Linear Differential Equations notes (pdf file) 11/20

Answers to Take-Home (pdf file) 11/15

Answers to "Lending to Invest" Exercise (pdf file) 11/1

Notes: Complete and Incomplete Markets (pdf file, 39K) 11/1

Exercise due 11/2 (pdf file, 38K) 10/28

Answer to exercise due 10/12, plus notes on "betting" (pdf file, 57k) 10/13

Exercise due 10/12 (pdf file, 34K), posted 10/7

Anwer to "VaR" exercise due 9/28. (pdf file,35K) 10/4

Alternate answer to problem 3 on exercise originally due 9/14. (pdf file, 67k) 9/23

Notes and an exercise due 9/28 on asset valuation: The Fundamental Value of a Tulip (pdf file, 99K) 9/23

The exercise at the end of these notes is due, along with the exercise assigned 9/18 below, at our next meeting 9/28.  Printouts of these notes are on the table in the hall at 37 Hillhouse.  I've corrected one problem with the pdf file printing -- the one that resulted on my printer in some small characters in subscripts and superscripts disappearing.  It may be that other printing problems people have been having will also be taken care of by the change.

Link to a 9/14 Business Week article on the pitfalls of quantitative financial modeling. (might not work)

Notes on Brownian Motion and Value at Risk Calculations (pdf file, 90K, 9/18)

Expression (5) in the middle of page 3 is missing a large left parenthesis after the "N".  This seems to be an unfixable problem in Adobe's software, but it is easy to see, and on a paper copy can easily be fixed with a pen.

Answers to problem set due 9/14 (pdf file, 106k) (Includes modified Problem 3 for those handing it in late.)

Review Notes on Matrix Algebra (pdf file, 106k) (Includes practice problems that need not be handed in.)
Notes on Properties of and Examples of Martingales (pdf file, 125K), 9/14
Notes on Probability, Expectations, Martingales, and (simple) Efficient Markets Theory (pdf file, 8 pages, 184K)

The version posted early in the afternoon of  9/8 had two small errors:  a missing subscript s on the first E on the right-hand side of equation (18) and a missing minus sign on the exponent of 1/2 on |Sigma| in equation (20).  Only these two small changes have been made to the version now posted, so it should not be necessary to download it again.  Just pencil in the changes.

Further correction to the notes 9/11:  A spurious "d" in one of the covariance matrices of problem 3 should have been a "3".  The multivariate normal density formula in equation (20) had several important typos, now corrected.

It turns out not to be possible to produce a readable HTML version of the notes above.  A paper version should be available at 37HH, room 6 by the afternoon of 9/9.  The exercise alone can be more or less reproduced in HTML, and it is here.

The course work will consist of exercises every week or two, and a paper.  For most of the exercises, collaboration will be encouraged.  Each student will need to submit an independent writeup of the exercise, but collaboration on figuring out the answers is encouraged.  If you have collaborated, you should list your collaborators at the top of the work you submit.  Most exercises will be graded on an "OK+" to "OK-" to "not OK" scale.  They will count only a small amount toward the overall grade, unless you do not submit them or get a "not OK" grade.  Two exercises, one toward midterm and one toward the end of the course, will be non-collaborative and will count more toward the grade: 10% for the one at midterm and 30% for the one at the end of the course.  On these, the questions will be similar to ones already answered on previous exercises.  The remaining 60% of the grade will be for a 15-20 page paper, due at the end of the course.  A proposal for the paper will be expected around midterm.  The paper can be historical, focusing on a particular crash or bubble, or it can be analytic, exploring further a model we consider in class, or it can discuss policy proposals concerning asset market and banking stability  that have appeared in the past.