University of Technology Sydney

37363 Stochastic Processes and Financial Mathematics

6cp; 2hpw (lecture, online), 2hpw (PC lab/tutorial, on campus)
Requisite(s): ( 37262 Mathematical Statistics OR (35252 Mathematical Statistics AND 35363 Stochastic Models))
These requisites may not apply to students in certain courses. See access conditions.
Anti-requisite(s): 35361 Stochastic Processes


This subject introduces the mathematics of random processes which are used to describe and predict the behaviour of complex systems. Applications arise across a very wide range of disciplines, from finance and economics, to physics and biology. Topics include: Gaussian-Markov processes including Brownian motion; Markov chains, birth-death processes; Compound Poisson processes, Levy processes; Kalman filtering, elements of time series; diffusion processes and their application to ruin probabilities and financial modelling; Black-Scholes formula.

Typical availability

Spring semester, City campus

Detailed subject description.

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.