• Offered by Mathematical Sciences Institute
  • ANU College ANU Joint Colleges of Science
  • Classification Advanced
  • Course subject Mathematics
  • Areas of interest Economics, Finance, Mathematics, Theoretical Physics
  • Academic career PGRD
  • Course convener
    • Prof Andrew Hassell
  • Mode of delivery In Person
  • Co-taught Course
  • Offered in First Semester 2016
    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 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.

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:

  • 3 Assignments (worth 10% each; LO 1-4)
  • Final examination (70%; 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.

Requisite and Incompatibility

You will need to contact the Mathematical Sciences Institute 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.

6.00 0.12500
Domestic fee paying students
Year Fee
2016 $3480
International fee paying students
Year Fee
2016 $4638
Note: Please note that fee information is for current year only.

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.

The list of offerings for future years is indicative only.
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
2874 15 Feb 2016 26 Feb 2016 31 Mar 2016 27 May 2016 In Person N/A

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