PSTAT 160B - Applied Stochastic Processes

Continuous models. Continuous time stochastic processes: Poisson process, Markov chains, Renewal process, Brownian motion, including simulation of these processes. Applications to Black-Scholes model, insurance and ruin problems and related topics.

Prerequisites: MATH 4B, PSTAT 120B, and PSTAT 160A with a grade of C or better