MATH6109 Probability Modelling with Applications

Offered By	Department of Mathematics
Academic Career	Graduate Coursework
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 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	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)
Course Classification(s)	AdvancedAdvanced courses are designed for students having reached 'first degree' level of assumed knowledge, which provide a deep understanding of contemporary issues; or 'second degree' and higher levels of knowledge; or for transition to research training programs. and SpecialistSpecialist courses are designed for students having reached 'first degree' level of assumed knowledge, which provide for the acquisition of specialist skills; or 'second degree' and higher level of knowledge; or for transition to research training programs; or knowledge associated with professional accreditation.
Areas of Interest	Mathematics
Eligibility	Bachelor degree; with second year Mathematics.
Consent Required	Please contact MATHSadmin@maths.anu.edu.au for consent to enrol in this course.
Programs	Master of Mathematical Sciences

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.