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
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. Tuition fees are indexed annually. 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 |
Course fees
- Domestic fee paying students
| Year | Fee |
|---|---|
| 2015 | $3096 |
- International fee paying students
| Year | Fee |
|---|---|
| 2015 | $4146 |
Offerings, Dates and Class Summary Links
ANU utilises MyTimetable to enable students to view the timetable for their enrolled courses, browse, then self-allocate to small teaching activities / tutorials so they can better plan their time. Find out more on the Timetable webpage.
Class summaries, if available, can be accessed by clicking on the View link for the relevant class number.
First Semester
| Class number | Class start date | Last day to enrol | Census date | Class end date | Mode Of Delivery | Class Summary |
|---|---|---|---|---|---|---|
| 1808 | 16 Feb 2015 | 06 Mar 2015 | 31 Mar 2015 | 29 May 2015 | In Person | N/A |
