MATH3029 Probability Modelling with Applications
Later Year Course
| Offered By | Department of Mathematics |
|---|---|
| Academic Career | Undergraduate |
| Course Subject | Mathematics |
| Offered in | First Semester, 2009 and First Semester, 2010 |
| Unit Value | 6 units |
| Course Description |
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 progress to honours and post-graduate courses emphasizing the theory of mathematical finance and stochastic analysis. The course contains sufficient material for students to feel comfortable with Markov chains, Poisson processes, and Brownian motion, and the conceptual formulation of topics in continuous time finance, insurance and risk management, where these processes are applied. Also the concept of martingales, which is fundamental for understanding the modern option pricing theory of Black and Scholes, is introduced. Note: This is an HPC. It continues the development of sophisticated mathematical and probabilistic techniques and their application begun in STAT2001(HPC) |
| Learning Outcomes |
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:
|
| Workload | This course will only be offered subject to staff availability |
| Areas of Interest | Mathematics |
| Requisite Statement |
STAT2001 or MATH2007. |
| Science Group | C |
The information published on the Study at ANU 2009 website applies to the 2009 academic year only. All information provided on this website replaces the information contained in the Study at ANU 2008 website.
