MAT3104 Random Processes to Financial Mathematics (FOSCI)

Semester 2 (ONC)Toowoomba (EXT)Toowoomba

Units 1.0 (Mathematics) Band 2

Pre-requisite: MAT2100 and STA2300

Synopsis

This course begins by developing the modelling of processes with random effects. The application is developed to the classification and performance of queues subject to fluctuations in arrivals and services. Stochastic differential equations reflect volatilty in finance and occur in other areas. The course establishes a basic mathematical foundation for SDEs, shows some analytic solutions, and develops simple numerical schemes for simulation. Throughout the course basics of technical communication in the mathematical sciences are developed. This course is offered only in odd numbered years.