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3S4: Applied Probability in Commerce and Finance ( STAT3364)
Semester: 2 Campus: CRAWLEY
Semester: 2 Campus: CRAWLEY
| Availability: Semester 2 (See Timetable) | |||
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Description Fluctuations of stock and option prices, the extraction of signals from noisy records and the temporal variation in size of small populations are all grist for the mill of applied probability. This term applies to that body of the theory of probability and random processes which is motivated by phenomena such as the above and which gives insight into them.The core material covers Brownian motion and related processes, and their application to asset price modelling and the Black-Scholes option pricing formula. Other topics may include the application of probability and statistical notions to concepts of risk in the finance and insurance industries and risk/return trade-off. The required probability background, for example, convergence concepts and limit theory, is also covered. For more info see the Handbook: http://handbooks.uwa.edu.au/units/stat/stat3364 | |||
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Assessment This comprises an end-of-semester examination and in-semester tests or assignments. All assessment tasks require students to apply their knowledge of the unit content to solve previously unseen problems. Credit is given for clarity and correctness of presentation as well as for actual results.Supplementary assessment is not available in this unit except in the case of a bachelor's degree student who has obtained a mark of 45 to 49 and is currently enrolled in this unit, and it is the only remaining unit that the student must pass in order to complete the course. |
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