- Code MATH6109
- 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 some practical applications of probability in information theory and option pricing.
The course will provide a sound foundation to progress to MATH6115 Stochastic Analysis with Financial Applications, as well as other post-graduate courses emphasizing the theory of mathematical finance and stochastic analysis.
Upon successful completion, students will have the knowledge and skills to:
- Understand and use fundamental concepts of probability theory, both in the abstract setting of probability spaces, sigma algebras, and probability measures, and as applied to concrete problems
- Demonstrate accurate and efficient use of probability theory techniques, including limiting processes
- Solve problems using probabilistic methods and ideas
- Demonstrate capacity for mathematical reasoning through analyzing, proving and explaining concepts from probability theory
- Ability to use their deep knowledge and understanding of probability theory to formulate responses to complex concrete and abstract problems
- Ability to communicate their understanding and skills in probability theory with colleagues and non-experts and apply their knowledge in an occupational situation.
- Assignments (30) [LO 1,2,3,4,5,6]
- Participation in lectures and workshops (quizzes, presentations, group work) (5) [LO 1,2,3]
- Mid-semester exam (25) [LO 1,2,3,4,5,6]
- Final Exam (40) [LO 1,2,3,4,5,6]
In response to COVID-19: Please note that Semester 2 Class Summary information (available under the classes tab) is as up to date as possible. Changes to Class Summaries not captured by this publication will be available to enrolled students via Wattle.
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WorkloadThree lectures per week and regular workshops.
Requisite and Incompatibility
You will need to contact the Mathematical Sciences Institute to request a permission code to enrol in this course.
Prescribed TextsStochastics: Introduction to Probability and Statistics by Hans-Otto Georgii, de Gruyter, 2nd edition.
Course notes will also be provided to students.
Calculus, linear algebra and basic real analysis. Some knowledge of measure theory would be helpful, but it is not essential to take 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
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Class summaries, if available, can be accessed by clicking on the View link for the relevant class number.