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160b10_syl - Pstat160b Syllabus Classes MWF 1:00-1:50 p.m...

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Pstat160b Spring 2010 Syllabus Classes: MWF 1:00-1:50 p.m. Room: North Hall 1109 Instructor: Dr. Guillaume Bonnet Office: South Hall 5503 Office Phone: 893-8088 Email: [email protected] Office Hours: M, 11:00-11:30 a.m. & 4:15-5:00 p.m. W: 11:00-12:00 a.m If you are unable to meet during regularly scheduled office hours, you are welcome to schedule appointments with me at convenient times. Discussion Session: M, 2:00-2:50 p.m. Room: Girv 2119 TA: Richard Harang Email: [email protected] Prerequisites: pstat 160A or equivalent Unit: 4 Web page: On Gauchospace Text: Probability Models , Eight Edition, by Sheldon M. Ross, Academic Press. Syllabus: The main topic of Pstat160b is an introduction to continuous time stochastic pro- cesses and simulations of continuous random variables with some applications in Mathematical Finance and Actuarial Science. The class will cover in particular Pois- son process, Markov chains, Brownian motion, simulation, introduction to finance in continuous time, introduction to credit risk, ruin problems related to insurance.
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