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Rsch Sch of Finance, Actuarial Studies & App Stats · ANU College of Business and Economics
The course focuses on advanced modern stochastic processes, including Brownian motion, continuous-time martingales, stochastic integration and Ito's calculus, Markov processes, stochastic differential equations, point processes and their applications. The course will include some applications but will emphasise setting up a solid theoretical foundation for the subject. The course will provide a sound basis for progression to other post-graduate courses, including mathematical finance, stochastic analysis, statistics, and actuarial sciences. The course aims to round off the rigorous introduction to probabilistic reasoning studied previously, as well as to substantially enhance students' depth of knowledge in the mathematical underpinning of stochastic process theory.
Typical assessment may include, but is not restricted to: exams, assignments, quizzes, presentations and other assessment as appropriate
Learning outcomes 1, 2, 3, 4
Students are expected to commit 130 hours of work in completing this course. This includes time spent in scheduled classes and self-directed study time.
Information about the prescribed textbook will be available via the Class Summary.