Preparatory Math Class

July 28 - August 14, 2008

During the three weeks immediately prior to Orientation, the MSCF program will offer a refresher course in calculus, especially as applied to probability. While this course is designed for those whose skills in these areas may have become a bit rusty, we have found those taking this course to be better prepared for the rigorous course of study that follows. There is a nominal $125 charge for students who are admitted and enrolling for Fall 2008.

Topics include limits, derivatives of functions of one and several variables, integration, L'Hopital's and Leibnitz' rules, Taylor's theorem, expectations and variances of random variables, moment-generating functions, conditional densities and conditional expectations. The first half of the class focuses on discrete distributions whereas the second half is about continuous distributions. Overall, we should cover more than 50 relevant problems, including both a midterm and a final exam (closed book).

The format of this course is as a problem-working seminar. Problems will be assigned and these and similar problems will be worked in class. The goal of the course is to help students accurately compute the limits, derivatives and integrals that arise in the subsequent courses in the Master's program in Computational Finance. Problems will be chosen to emphasize the calculations that have caused students difficulties in these courses in the past. The course will not present theory except as it is needed to do the assigned problems.

This course will be offered both in Pittsburgh and New York, tentatively commencing Monday, July 28, and ending Wednesday, August 13. Class meets 5:30-8:20 Mondays, Wednesdays and Fridays. The final exam for both Pittsburgh and New York will be 5:30-8:30, Thursday, August 14.

Reference texts include Spiegel, M. R., J. Schiller and R. A. Srinvasan: Probability and Statistics, Schaums outlines, 2nd ed. (2000), Jacod, J. and P. Protter: Probability Essentials, Springer, 2nd ed. (2004). The cost of this course is $125. Incoming MSCF students can register for this course via the MSCF Admitted Student Website.

Individuals not enrolled in the MSCF program can participate in the class at a tuition of $2,300. To qualify, submit your resume along with a list of previous calculus and probability courses taken to James Frick at jfrick@andrew.cmu.edu.