Class time: MW 4:10-5:25 BLOC 165
Textbook:Probability with Martingales, David Williams
Description: We will cover the mathematical foundations of probability: measure theory, Riemann and Lebesgue integration, random variables, expectation, conditional expectation and martingales. The emphasis will be on using examples to attain an intuitive understanding of the above concepts. Some of the examples we will cover are the binomial asset pricing model and random walks and their applications.
Grading: Course grades will be based on the following.
1) Midterm (25%). Date: to be announced.
2) Biweekly homeworks (totally 50%).
3) Final (25%). Date: to be announced.