Pstat160bSpring 2010SyllabusClasses:MWF 1:00-1:50 p.m.Room:North Hall 1109Instructor:Dr. Guillaume BonnetOffice:South Hall 5503Office Phone:893-8088Email:[email protected]Office Hours:M, 11:00-11:30 a.m. & 4:15-5:00 p.m.W: 11:00-12:00 a.mIf you are unable to meet during regularly scheduled office hours, you are welcometo schedule appointments with me at convenient times.Discussion Session:M, 2:00-2:50 p.m.Room:Girv 2119TA:Richard HarangEmail:[email protected]Prerequisites:pstat 160A or equivalentUnit:4Web page:On GauchospaceText: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 inMathematical Finance and Actuarial Science. The class will cover in particular Pois-son process, Markov chains, Brownian motion, simulation, introduction to financein continuous time, introduction to credit risk, ruin problems related to insurance.
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Probability theory, Stochastic process, Markov chain