3 1 7517 Please contact admin.teaching.msi@anu.edu.au for consent to enrol in this course. true MATH6109 <p>The course introduces stochastic processes with a view towards applications in fields such as finance, insurance, risk management, and operations research. </p><p>The aim is to provide mathematics students with basic knowledge of stochastic processes where practical rather than theoretical aspects are emphasized. </p><p>Probability Modelling and Applications provides a sound foundation to post-graduate courses emphasizing the theory of mathematical finance and stochastic analysis.</p><p>The course contains:</p><ul><li>Markov chains</li><li>Poisson processes</li><li>Brownian motion</li><li>Conceptual formulation of topics in continuous time finance, insurance and risk management, where these processes are applied. </li><li>Concept of martingales, which is fundamental for understanding the modern option pricing theory of Black and Scholes.</li></ul><p>Note: Graduate students attend joint classes with undergraduates but will be assessed separately.</p> Bachelor degree; with second year Mathematics. 1 false 12639 <p>Assessment will be based on:</p><ul><li>3 Assignments (worth 10% each; LO 1-4)</li><li>Final examination (70%; LO 1-4)</li></ul> 1 1 <p>On satisfying the requirements of this course, students will have the knowledge and skills to:</p>1. Explain the fundamental concepts of probability theory and its position in modern mathematics and applied contexts;<br />2. Demonstrate accurate and efficient use of probability theory techniques;<br />3. Demonstrate capacity for mathematical reasoning through analyzing, proving and explaining concepts from probability theory;<br />4. Apply problem-solving using probabilistic methods in various situations in mathematical finance. 0 Probability Modelling with Applications 6 6 6 Prob Modelling with Apps Band 2 NP Mathematics u8606170 2 2010