- Code MATH6109
- Unit Value 6 units
- Offered by Department of Mathematics
- ANU College ANU Joint Colleges of Science
- Course subject Mathematics
- Areas of interest Mathematics
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 post-graduate courses emphasizing the theory of mathematical finance and stochastic analysis.
The course contains:
- Markov chains
- Poisson processes
- Brownian motion
- Conceptual formulation of topics in continuous time finance, insurance and risk management, where these processes are applied.
- Concept of martingales, which is fundamental for understanding the modern option pricing theory of Black and Scholes.
Note: Graduate students attend joint classes with undergraduates but will be assessed separately.
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.
Assessment will be based on:
- 3 Assignments (worth 10% each; LO 1-4)
- Final examination (70%; LO 1-4)
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Requisite and Incompatibility
You will need to contact the Department of Mathematics to request a permission code to enrol in this course.
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:
- 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.
Offerings, Dates and Class Summary Links
Class summaries, if available, can be accessed by clicking on the View link for the relevant class number.
|Class number||Class start date||Last day to enrol||Census date||Class end date||Mode Of Delivery||Class Summary|
|1952||16 Feb 2015||06 Mar 2015||31 Mar 2015||29 May 2015||In Person||N/A|