18.600 | Fall 2019 | Undergraduate

Probability and Random Variables

Calendar

SES # TOPICS KEY DATES
1 Permutations and combinations  
2 Multinomial coefficients and more counting  
3 Sample spaces and set theory  
4 Axioms of probability  
5 Probability and equal likelihood Problem Set 1 due
6 Conditional probabilities  
7 Bayes’ formula and independent events  
8 Discrete random variables Problem Set 2 due
9 Expectations of discrete random variables  
10 Variance Problem Set 3 due
11 Binomial random variables, repeated trials and the so-called modern portfolio theory  
12 Poisson random variables  
13 Poisson processes Problem Set 4 due
14 More discrete random variables  
15 Review for midterm exam 1  
16 Midterm exam 1  
17 Continuous random variables  
18 Normal random variables Problem Set 5 due
19 Exponential random variables  
20 More continuous random variables  
21 Joint distribution functions Problem Set 6 due
22 Sums of independent random variables  
23 Expectation of sums  
24 Covariance and some conditional expectation exercises Problem Set 7 due
25 Conditional expectation  
26 Moment generating functions  
27 Weak law of large numbers Problem Set 8 due
28 Review for midterm exam 2  
29 Midterm exam 2  
30 Central limit theorem  
31 Strong law of large numbers and Jensen’s inequality  
32 Markov chains Problem Set 9 due
33 Entropy  
34 Martingales and the optional stopping time theorem  
35 Martingales and risk neutral probability  
36 Risk neutral probability and Black-Scholes  
37 Review for final exam Problem Set 10 due
38 Review for final exam (cont.)  
39 Review for final exam (cont.)  
40 Final exam  

Course Info

Departments
As Taught In
Fall 2019
Learning Resource Types
Problem Sets
Exams with Solutions
Lecture Notes
Online Textbook
Instructor Insights