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