Master Seminar Stochastics and Financial Mathematics

3 EC

Semester 1, period 1, 2

5374MSSF3Y

Owner Master Stochastics and Financial Mathematics
Coordinator dr. A. Khedher
Part of Master Stochastics and Financial Mathematics, year 1

Course manual 2018/2019

Course content

The Master Seminar consists of lectures on a broad range of research topics in stochastics, probability and financial mathematics

There will be three types of lectures:

  • by the participating first-year students on research literature. Students will have a choice from a list, and can propose their own subject;
  • by staff members and PhD students in Amsterdam on topics closely related to their research;
  • by second-year students on their ongoing master thesis projects
  • by invited speakers from the industry sector

The students will have the opportunity to suggest topics and speakers to invite at the Master Seminar

Objectives

  1. The student is able to read papers at a research level
  2. The student is able to organize the material for a seminar talk
  3. The student is able to explain the mathematical concepts and ideas involved in the research paper
  4. The student is able to communicate and explain his ideas 
  5. The student is able to develop his presentation skills
  6. The student learn how to constructively participate in a research seminar

Teaching methods

  • Seminar
  • Presentation/symposium
  • Self-study
  • Working independently on e.g. a project or thesis

Learning activities

Activity

Hours

Presentatie

16

Self study

68

Total

84

(3 EC x 28 uur)

Attendance

Additional requirements for this course:

Attendance is compulsory

Assessment

Item and weight Details

Final grade

1 (100%)

Presentation

The course will be graded based on the presentations of the students, and their attendence and active participation. There will be no opportunity for a resit exam for this course

Fraud and plagiarism

The 'Regulations governing fraud and plagiarism for UvA students' applies to this course. This will be monitored carefully. Upon suspicion of fraud or plagiarism the Examinations Board of the programme will be informed. For the 'Regulations governing fraud and plagiarism for UvA students' see: www.student.uva.nl

Course structure

Weeknummer Onderwerpen Studiestof
1

Presentations by PhD students: Brendan Patch and Nicolaos Starrveld

Discussing the topics list and the structure of the Master Seminar 

  
2 No lecture  
3

Presentations by Bas Haver and  Hester Kronenberg on "Multivariate normal distribution" 

 Chapters 1 and 5 of https://www.springer.com/de/book/9781441901613
4

Presentations by Minne Marijnen and Wang Chaohua on “Elementary theory of AR(MA) processes”

  
5

Presentations by Philip Boeken and Mark van den Hoven on “The pricing of options and corporate liabilities”

  
6

Presentation by Jules Coret (second year Master student). The title of the presentation will be announced

  
7

Presentations by Ziyu Zhou and Dong Congyi on “Monte Carlo methods with random matrix theory”

  
8

Presentation by Jian He (alumni, currently working at ABN AMRO and doing a PhD) Title of the presentation will be announced

Presentation by Robben Riksen (alumni, currently working at Alliander) Title of the presentation will be announced

  
9    
10    
11    
12    
13    
14    
15    
16    

Timetable

The schedule for this course is published on DataNose.

Contact information

Coordinator

  • dr. A. Khedher