Preparatory Math Class

July 27 - August 13, 2009

During the three weeks immediately prior to Orientation, the MSCF program will offer a refresher course in multivariate calculus and linear algebra. 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. To encourage attendance, the course is open to all MSCF students matriculating in Fall '09 for a nominal fee of $125 (this fee does not include the cost of reference texts). Incoming MSCF students can register for this course via the MSCF Admitted Student Website

Topics include limits, derivatives of functions of one and several variables, integration, L'Hopital's rule, Taylor's theorem, density functions for random variables, expectations and variances of random variables, moment-generating functions, conditional densities and conditional expectations.

The format of this course is as a problem-working seminar. Problems on all these topics 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, commencing Monday, July 27, and ending Thursday, 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 13. The final grade assigned will be either Pass or Fail, not a letter grade.

Reference texts are 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). Students are encouraged to purchase and review these texts before the start of class.

Individuals not enrolled in the MSCF program can participate in the class at a tuition of $2,900. To qualify, submit your resume along with a list of previous calculus and probability courses taken to James Frick at jfrick@andrew.cmu.edu.