Stochastic Processes for Finance and Insurance credit: 3 or

4 Hours

An introduction to stochastic processes and their applications to finance and insurance. Topics include conditional probability, conditional expectation, Markov chains, Poisson processes, reliability theory, Brownian motion and elementary introductions to insurance risk theory and option pricing theory. 3 or 4 undergraduate hours. 3 or 4 graduate hours. Prerequisite: ASRM 401 or MATH 461 .