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Stochastics and Financial Mathematics

Study programme

Stochastics and Financial Mathematics (MSc)

Courses

This programme focuses on phenomena in which chance plays a
central role, such as election results, fluctuations in stock prices or
complex networks in a living cell, with a specific focus on Financial
Mathematics, an important application field of stochastics.

The curriculum is as follows:

  • Master Seminar in Stochastics & Financial Mathematics (3 EC)
  • Measure Theoretic Probability (8 EC)
  • Elective courses (73 EC, of which 12 EC may be spent on courses outside Mathematics and the possibility to do an internship in the summer)
  • Master's project (36 EC)


Important subjects include:

  • Measure Theoretic Probability (the core mathematics course, serving as foundation for more advanced subjects)
  • Mathematical Statistics (including Nonparametric, Semiparametric and Bayesian Statistics)
  • Stochastic Processes (including Time Series, Lévy Processes and Stochastic Integration)
  • Financial Stochastics
  • Industrial Statistics


Each semester you select four or five subjects from the list of recommended SFM courses. In certain cases, and in consultation with the Master's coordinator Asma Khedher and the examination board, you can substitute some of these courses with other relevant mathematical course components, such as Partial Differential Equations or Functional Analysis. You can also choose courses from other disciplines, including Mathematics, Econometrics and Bioinformatics. So you can tailor this programme to your interests, in consultation with the master coordinator. You can choose from a large list of courses from either the local programmes at UvA and VU, and from the national Mastermath programme.

For detailed information on the courses, check the Course Catalogue

Master Seminar

During the first semester of the first year of your programme you participate in the seminar Stochastics & Financial Mathematics. The Master Seminar is led by active UvA- and VU-researchers, and forms the first link between your Master's programme and mathematical research in Amsterdam. The Master Seminar comprises presentations of local staff on their research interests, of graduating students on their thesis project, of the participating students on research literature studied in groups of alumni and potential employers.

Master's project

The programme concludes with a research project. You conduct this project within a research group of the Korteweg-de Vries Institute for Mathematics under personal guidance of a staff member. It is also possible to combine the Master's project with an internship in a company. The project culminates in your Master's thesis and an oral presentation of your results during a public colloquium. 

 

Bring your own device

All students enrolled in the Stochastics and Financial Mathematics master's programme are requested to bring their own laptop. More information on specific system requirements can be found here.