**Title of the course:** Probability Models

**Instructor:** Asst. Prof. Genco Fas

**Institution:** İstanbul Bilgi Ü.

**Dates:** 10-16 July 2017

**Prerequisites:** Fundamental concepts of probability

**Level:** Graduate

**Abstract:**

- Intro: Concepts of Probability – a short review

- Some Discrete and Continuous Distributions, Moment Generating Functions

- Branching Processes

- Random Walk and Bernoulli Processes

- Discrete-time Markov Chains (definitions, classification and applications)

- Limiting and Stationary Distributions

- Poisson Processes and Exponential Distribution

- Continuous-time Markov Chains

- Limiting Probabilities, Hitting Times, Queueing Theory

- Applications from finance and actuarial sciences: Option Pricing, BS Pricing Model, Credibility.

**References:**

- Introduction to Probability Models, Sheldon Ross, Academic Press, 9th Edition

- Lecture Notes

**Additional Resources:**

- Probability and Statistics for Engineers and Scientists, Walpole, Myers, Myers, Ye, Prentice Hall, 8th edition.

**Language:** EN, TR