• Offered by Department of Mathematics
  • ANU College ANU Joint Colleges of Science
  • Course subject Mathematics
  • Areas of interest Mathematics
  • Academic career UGRD
  • Course convener
    • Dr Boris Buchmann
  • Mode of delivery In Person
  • Offered in First Semester 2014
    See Future Offerings

The course introduces stochastic processes with a view towards applications in fields such as finance, insurance, risk management, and operations research. The aim is to provide mathematics students with basic knowledge of stochastic processes where practical rather than theoretical aspects are emphasized.

Probability Modelling and Applications provides a sound foundation to progress to honours and post-graduate courses emphasizing the theory of mathematical finance and stochastic analysis.

The course contains sufficient material for students to feel comfortable with Markov chains, Poisson processes, and Brownian motion, and the conceptual formulation of topics in continuous time finance, insurance and risk management, where these processes are applied. Also the concept of martingales, which is fundamental for understanding the modern option pricing theory of Black and Scholes, is introduced.

Note: This is an HPC. It continues the development of sophisticated mathematical and probabilistic techniques and their application begun in STAT2001(HPC)

Learning Outcomes

Upon successful completion, students will have the knowledge and skills to:

On satisfying the requirements of this course, students will have the knowledge and skills to:

1. Explain the fundamental concepts of probability theory and its position in modern mathematics and applied contexts;
2. Demonstrate accurate and efficient use of probability theory techniques;
3. Demonstrate capacity for mathematical reasoning through analyzing, proving and explaining concepts from probability theory;
4. Apply problem-solving using probabilistic methods in various situations in mathematical finance.

Indicative Assessment

Assessment will be based on:

  • Weekly Assignments (50%; LO 1-4)
  • Final examination (50%; LO 1-4)

The ANU uses Turnitin to enhance student citation and referencing techniques, and to assess assignment submissions as a component of the University's approach to managing Academic Integrity. While the use of Turnitin is not mandatory, the ANU highly recommends Turnitin is used by both teaching staff and students. For additional information regarding Turnitin please visit the ANU Online website.

Workload

This course will only be offered subject to staff availability

Requisite and Incompatibility

To enrol in this course you must have successfully completed STAT2001 or MATH2320 or MATH3116.

Majors

Fees

Tuition fees are for the academic year indicated at the top of the page.  

If you are a domestic graduate coursework or international student you will be required to pay tuition fees. Students continuing in their current program of study will have their tuition fees indexed annually from the year in which you commenced your program. Further information for domestic and international students about tuition and other fees can be found at Fees.

Student Contribution Band:
2
Unit value:
6 units

If you are an undergraduate student and have been offered a Commonwealth supported place, your fees are set by the Australian Government for each course. At ANU 1 EFTSL is 48 units (normally 8 x 6-unit courses). You can find your student contribution amount for each course at Fees.  Where there is a unit range displayed for this course, not all unit options below may be available.

Units EFTSL
6.00 0.12500
Domestic fee paying students
Year Fee
1994-2003 $1650
2004 $1926
2005 $2298
2006 $2520
2007 $2520
2008 $2916
2009 $2916
2010 $2916
2011 $2946
2012 $2946
2013 $2946
2014 $2946
International fee paying students
Year Fee
1994-2003 $3390
2004 $3450
2005 $3450
2006 $3618
2007 $3618
2008 $3618
2009 $3618
2010 $3750
2011 $3756
2012 $3756
2013 $3756
2014 $3762
Note: Please note that fee information is for current year only.

Offerings and Dates

The list of offerings for future years is indicative only

First Semester

Class number Class start date Last day to enrol Census date Class end date Mode Of Delivery Class Summary
3327 17 Feb 2014 07 Mar 2014 31 Mar 2014 30 May 2014 In Person N/A

Responsible Officer: Registrar, Student Administration / Page Contact: Website Administrator / Frequently Asked Questions