The course introduces probability theory, including probability spaces, random variables, conditional probability and independence, limit theorems, Markov chains, martingales, Brownian motion, and an introduction to stochastic processes. The course will emphasise practical understanding and applications as well as a solid theoretical foundation for the subject.
The course will provide a sound foundation to progress to MATH3015 (Mathematics of Finance), as well as other honours and post-graduate courses emphasizing the theory of mathematical finance and stochastic analysis.
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:
- Assignments (50%; LO 1-4)
- Final examination (50%; LO 1-4)
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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 |
|---|---|
| 2016 | $3276 |
- International fee paying students
| Year | Fee |
|---|---|
| 2016 | $4368 |
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 |
|---|---|---|---|---|---|---|
| 2745 | 15 Feb 2016 | 26 Feb 2016 | 31 Mar 2016 | 27 May 2016 | In Person | N/A |