35361 Stochastic Processes

6cp; 4hpw
Requisite(s): 35252 Mathematical Statistics

This subject has applications across a very wide range of disciplines, from finance and economics, to physics and biology. It introduces the mathematics of random processes which are used to describe and predict the behaviour of complex systems. Topics include: Gaussian-Markov processes; Markov chains, birth-death processes; Compound Poisson process, Levy process, stable and Variance-Gamma processes; Martingales and their application to ruin probabilities and financial modelling; Black-Scholes formula and modelling of interest rates.

Typical availability

Spring semester, City campus

Fee information

2008 contribution for post-2008 Commonwealth-supported students: $907.50
Note: Students who commenced prior to 1 January 2008 should consult the Student contribution charges for Commonwealth supported students
Not all students are eligible for Commonwealth Supported places.

2008 amount for undergraduate domestic fee-paying students: $2,490.00

Note: Fees for Postgraduate domestic fee-paying students and international students are charged according to the course they are enrolled in. Students should refer to the Annual Fees Schedule.

Subject EFTSL: 0.125

Access conditions

Note: The requisite information presented in this subject description covers only academic requisites. Full details of all enforced rules, covering both academic and admission requisites, are available at Access conditions and My Student Admin.