APP MTH 7044 - Applied Mathematics Topic C
North Terrace Campus - Semester 1 - 2016
General Course Information
Course Code APP MTH 7044 Course Applied Mathematics Topic C Coordinating Unit School of Mathematical Sciences Term Semester 1 Level Postgraduate Coursework Location/s North Terrace Campus Units 3 Available for Study Abroad and Exchange Y Course Description Please contact the School of Mathematical Sciences for further details, or view course information on the School of Mathematical Sciences web site at http://www.maths.adelaide.edu.au
Course Coordinator: Dr Giang Nguyen
The full timetable of all activities for this course can be accessed from Course Planner.
Course Learning OutcomesIn 2016, the topic of this course will be Advanced Stochastic Processes.
Randomness is an important factor in modelling and analyzing various real-life situations. This course covers some key topics in continuous-time stochastic processes: measure-theoretic probability, filtration, martingales, Brownian motions, Ito integrals, and applications to finance.
On successful completion of this course, students will be able to
1. explain the basics of measure-theoremetic probability
2. demonstrate key properties of Brownian motions
3. gain a better appreciation for the roles of stochastic processes, such as Brownian motions and diffusions, in a variety of applications
4. explain the important role of Ito calculus to finance
5. explain the concept of convergence of random variables
6. gain important problem-solving skills, especially in the context of stochastic modelling
7. analyse, intepret, and predict the evolution of continuous-time stochastic processes
8. present analyses and intepretations in written form
University Graduate Attributes
This course will provide students with an opportunity to develop the Graduate Attribute(s) specified below:
University Graduate Attribute Course Learning Outcome(s) Deep discipline knowledge
- informed and infused by cutting edge research, scaffolded throughout their program of studies
- acquired from personal interaction with research active educators, from year 1
- accredited or validated against national or international standards (for relevant programs)
all Critical thinking and problem solving
- steeped in research methods and rigor
- based on empirical evidence and the scientific approach to knowledge development
- demonstrated through appropriate and relevant assessment
all Teamwork and communication skills
- developed from, with, and via the SGDE
- honed through assessment and practice throughout the program of studies
- encouraged and valued in all aspects of learning
1,3 Career and leadership readiness
- technology savvy
- professional and, where relevant, fully accredited
- forward thinking and well informed
- tested and validated by work based experiences
1,3 Self-awareness and emotional intelligence
- a capacity for self-reflection and a willingness to engage in self-appraisal
- open to objective and constructive feedback from supervisors and peers
- able to negotiate difficult social situations, defuse conflict and engage positively in purposeful debate
Recommended Resources1. M. Harrison, Brownian motion and stochastic flow systems, John Wiley & Sons, 1985.
2. T. Mikosch, Elementary Stochastic Calculus, World Scientific, 2002.
Learning & Teaching Activities
Learning & Teaching ModesThis course relies on lectures as the primary delivery mechanism for the material. Four written assignments will help students to gauge their progress and understanding of the course.
The information below is provided as a guide to assist students in engaging appropriately with the course requirements.
Activity Quantity Workload Hours Lectures 30 90 Assignments 4 68 Total 158
Learning Activities SummaryLecture Outline
Week 1 Measure-theoretic Probability Week 2 Measure-theoretic Probability Week 3 Measure-theoretic Probability Week 4 Modes of Convergence Week 5 Brownian Motion Week 6 Brownian Motion Week 7 Filtrations, Conditional Probability Week 8 Martingales Week 9 Diffusions Week 10 Diffusions Week 11 Stochastic Calculus Week 12 Stochastic Calculus
The University's policy on Assessment for Coursework Programs is based on the following four principles:
- Assessment must encourage and reinforce learning.
- Assessment must enable robust and fair judgements about student performance.
- Assessment practices must be fair and equitable to students and give them the opportunity to demonstrate what they have learned.
- Assessment must maintain academic standards.
Component Weighting Objective Assessed Exam 70% all Assignments 30% all
Assessment DetailThere will be four assignments worth 30% of the total mark. The remaining 70% will come from the exam.
SubmissionAssignments must be handed in person to the lecturer or submitted in the assigned assignment box if they are to be marked.
Grades for your performance in this course will be awarded in accordance with the following scheme:
M10 (Coursework Mark Scheme) Grade Mark Description FNS Fail No Submission F 1-49 Fail P 50-64 Pass C 65-74 Credit D 75-84 Distinction HD 85-100 High Distinction CN Continuing NFE No Formal Examination RP Result Pending
Further details of the grades/results can be obtained from Examinations.
Grade Descriptors are available which provide a general guide to the standard of work that is expected at each grade level. More information at Assessment for Coursework Programs.
Final results for this course will be made available through Access Adelaide.
The University places a high priority on approaches to learning and teaching that enhance the student experience. Feedback is sought from students in a variety of ways including on-going engagement with staff, the use of online discussion boards and the use of Student Experience of Learning and Teaching (SELT) surveys as well as GOS surveys and Program reviews.
SELTs are an important source of information to inform individual teaching practice, decisions about teaching duties, and course and program curriculum design. They enable the University to assess how effectively its learning environments and teaching practices facilitate student engagement and learning outcomes. Under the current SELT Policy (http://www.adelaide.edu.au/policies/101/) course SELTs are mandated and must be conducted at the conclusion of each term/semester/trimester for every course offering. Feedback on issues raised through course SELT surveys is made available to enrolled students through various resources (e.g. MyUni). In addition aggregated course SELT data is available.
- Academic Support with Maths
- Academic Support with writing and speaking skills
- Student Life Counselling Support - Personal counselling for issues affecting study
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- AUU Student Care - Advocacy, confidential counselling, welfare support and advice
- Students with a Disability - Alternative academic arrangements
- Reasonable Adjustments to Teaching & Assessment for Students with a Disability Policy
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This section contains links to relevant assessment-related policies and guidelines - all university policies.
- Academic Credit Arrangement Policy
- Academic Honesty Policy
- Academic Progress by Coursework Students Policy
- Assessment for Coursework Programs
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- Coursework Academic Programs Policy
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- IT Acceptable Use and Security Policy
- Modified Arrangements for Coursework Assessment
- Student Experience of Learning and Teaching Policy
- Student Grievance Resolution Process
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