STA 305 Probability modeling

OCT 2022 - DEC 2022

Instructor: Joseph Ivivi Mwaniki Time: Thursday 14:00 hrs–15:00 hrs occasionally
Friday 11:00hrs–13:00hrs

Email: jimwaniki@uonbi.ac.ke Venue: Hybrid meeting .

Course Pages:

1. eg.:https://meet.google.com/kof-mnau-wzs

2. Google classroom enrollment Key: auirjnk

Main References:
This is a list of various interesting and useful books that will be used during the course. You
need to consult them occasionally.

ˆ Sheldon M. Ross(2019), Introduction to Probability Models, Academic Press, 2019.

ˆ Robert v.Hogg; Joseph Mckean and Allen T. Craig (2019), Introduction to mathematical
statistics 4rd edition , Pearson.

Course Objective:
To enable the students to handle problems in statistical modeling and apply techniques used in
Finance, social studies and economics among others

Course Purpose:
To enable students to obtain a working knowledge, and be able to apply and implement
elements of probability theory and probability modeling in statistical analysis, data analyis and
other relevant applications.

Expected Learning Outcomes:

At the end of the course the student should be able to;

ˆ Describe various types of generating functions.

ˆ Understand and apply important mathematical lemmas to probability

modeling ˆ Provide examples of basic discrete and continuous time probability

processes. ˆ Learn the basic principles of scientific computing applied to

statistics

ˆ State and apply Laplace transform, Markov chains and transition

probabilities ˆ Relate theoretical results with current market practice

ˆ Simulate probability processes using MCMC method.

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STA305 Probability Modeling November 3, 2022

Prerequisites: An undergraduate-level understanding of probability, statistics, stochastic

processes, and linear algebra is assumed in addition to computational finance course.
Tentative Course Outline:

uGenerating functions

ˆ Binomial expansions, exponential series;

ˆ probability generating functions for standard discrete

distributions;

ˆ Bernoulli, Binomial, Geometric, Poisson, negative binomial,

Logarithmic;

ˆ Recursive relations, recursive difference equations using

probability generating function technique

ˆ Sum of fixed number of random variables using convolution

approach, Compound distributions. Laplace transforms.

ˆ Characteristic function,cumulants generating functions

u Discrete Markov chains

ˆ Conditional probabilities

ˆ Markov property

ˆ Transitional probability matrix

ˆ Higher order transitional probabilities

ˆ Classification of states

ˆ Invariant distribution. Markov Chain Monte Carlo method

uContinuous Markov process

ˆ Standard Wiener process

ˆ Basic properties

ˆ Poisson process and its basic properties

Course Evaluation:

ˆ Regular assignment(s),; 30%

ˆ project(s) works ; 30%

ˆ online examination under SOMAS is expected at the end of the semester.70%

Class Policy:

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STA305 Probability Modeling November 3, 2022 ˆ Regular attendance is essential

and expected.

Academic Honesty:

ˆ Any form of academic dishonesty is highly discouraged.

ˆ Lack of knowledge of the academic honesty policy is not a reasonable explanation
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