Education, Master Class, Topics 2000/2001

Master Class 2000/2001


Brochure

Here is this year's brochure.

Mathematical Finance

Over the last 25 years the financial markets of the world have undergone revolutionary changes. The introduction of complex financial instruments such as options, futures and other derivatives had led to the strong need of a thorough mathematical analysis of financial processes. Mathematical Finance, a quickly emerging branch of applied mathematics, provides the mathematical techniques for the study of financial processes. This new discipline lies at the crossroad of areas such as stochastic analysis, applied probability theory, statistics, control and optimization theory, partial differential equations and numerical analysis.

Fellows participating in the MRI Master Class will receive a thorough training in the standard techniques of Mathematical Finance. In addition, non-standard approaches to the modeling of financial data will be presented. Guest lecturers from financial institutions will expose the students to problems encountered in day-to-day financial practice. In this way, the student will be enabled to conduct independent research in any more specialized field of economics, econometrics, Mathematical Finance or time series analysis. He/she will also benefit from the expertise of researchers and practitioners which is present at the MRI and a financial institutions in The Netherlands.
In the first semester introductory courses on measure theory, martingales, stochastic calculus and finance will provide a firm basis for more advanced techniques of financial engineering which are presented in the second semester. A seminar will accompany the courses. Its aim is to supplement the lecturers with recent material on research and practical problems in finance.

Prerequisites

The MRI Master Class is intended for students who want to get to the forefront of research in the area of Mathematical Finance. Applicants should hold an undergraduate degree in Mathematics or related fields with a strong mathematical background, such as Physics, Econometrics or Statistics. In particular, a basic knowledge of probability theory and mathematical statistics is required for successful participation.

1st Semester

Introduction to Mathematical Finance - Michel Vellekoop
Stochastic Calculus - Mathias Loewe
Measure, Probability and Martingales - Herold Dehling
Seminar - Herold Dehling and Thomas Mikosch

For the detailed contents of the courses click here.

2nd semester

Continuous Models in Mathematical Finance - Andreas Kyprianou
Financial Time Series Analysis - Aad van der Vaart
Interest Rate Models - Arun Bagchi
Seminar - Martien van Zuijlen

Application deadlines

Master Class 2000/2001
Mathematical Finance
extended to May 1, 2000

To apply for the Master Class send the following documents to the secretary of the MRI:

• curriculum vitae (including the following details: first name, surname, date of birth, nationality, address, postal code, city, country, phone number, fax, email address)
  
• academic record: list of subjects/classes taken at university, subjects for degree examination, photocopy of diploma (if available)
  
• recommendations from members of the academic staff of the home university (at least one)
  
• a summary of financial circumstances (if financial support is necessary)