- Code MATH3029
- Unit Value 6 units
- Offered by Mathematical Sciences Institute
- ANU College ANU Joint Colleges of Science
- Course subject Mathematics
- Areas of interest Economics, Finance, Mathematics, Theoretical Physics
The course introduces probability theory, including probability spaces, random variables, conditional probability and independence, limit theorems, and Markov chains, with an introduction to Brownian motion. The course will provide students with a solid theoretical foundation for probability theory, as well as describing describing some practical applications of probability in information theory and option pricing.
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.
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. Understand and use fundamental concepts of probability theory
2. Demonstrate accurate and efficient use of probability theory techniques, including limiting processes
3. Solve problems using probabilistic methods and ideas
4. Demonstrate capacity for mathematical reasoning through analyzing, proving and explaining concepts from probability theory
Assignments 60% (LO 1-4)
Participation in lectures and workshops (quizzes, presentations, group work) 5% (LO 1-3)
Final Exam 35% (LO 1-4)
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WorkloadThree lectures per week and regular workshops.
Requisite and Incompatibility
Prescribed TextsStochastics: Introduction to Probability and Statistics by Hans-Otto Georgii, de Gruyter, 2nd edition.
Course notes will also be provided to students.
Assumed KnowledgeCalculus, linear algebra and some basic real analysis. Some knowledge of measure theory would be very helpful, but is not essential to take the course.
Tuition fees are for the academic year indicated at the top of the page.
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- 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.
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