1988 …2019

Research output per year

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Personal profile

Research interests

Feike C. Drost is research fellow at CentER, Tilburg University, and associate professor in Mathematical Statistics and Quantitative Finance at the Department of Econometrics & OR.

Refereed Publications: click here

Feike's research program is concentrated on the statistical aspects of financial models and it includes, for example, semiparametric analysis in time series, statistical properties of diffusion models, and the relation between discrete time and continuous time models.

 

Career

1997 - present Associate Professor in Mathematical Statistics and Quantitative Finance, Tilburg University

1987 - 1996 Assistant professor in Mathematical Statistics, Tilburg University

1990 - 1994 Research fellow of the Royal Netherlands Academy of Arts and Sciences


Visiting Positions:

June 2001 CREST/INSEE, Paris

December 1998 UCR, Riverside

November 1998 CIRANO, Montreal

January-June 1996 Universite des Sciences Sociales, Toulouse

September + October 1994 CREST/INSEE, Paris

 

PhD supervision

 

COMPLETED PhD THESES

  • Robert Kozarski, 2013, Pricing and hedging in the VIX derivative market, with Bertrand Melenberg
  • I. Gaia Becheri, 2012, Limiting experiments for panel data and jump-diffusion models, with Ramon van den Akker and Bas J.M. Werker
  • Thijs G.E. van der Heijden, 2011, Duration Models, Heterogeneous Beliefs, and Optimal Timing, with  Bas J.M. Werker
  • Ramon van den Akker, 2007, Integer-Valued Time Series, with Bas J.M. Werker
  • Mark-Jan Boes ,2006, Index Options: Pricing, Implied Densities, and Returns, with Bas J.M. Werker
  • Bas J.M. Werker, 1995, Statistical Models in Financial Econometrics with Ben B. van der Genugten and Theo E. Nijman 

 

Current PhD PROJECTS

  • Oliver Wichert, with Bas J.M. Werker

 

Current courses

Click here for my courses.

Teaching


Currently Feike C. Drost teaches (parts of) the following courses: 

seeBlackoard Learning System

Previously, Feike C. Drost taught several courses in mathematics, statistics, econometrics, and finance:

  • for mathematicians: Real Ananlysis, Linear Algebra, Introduction to Probability Theory, Mathematical Statistics, Data Analysis
  • for economists: Analysis, Statistics 1, Statistics 2, Statistics 3, Investment Theory, Empirical Finance
  • for econometricians:
    • Real Analysis, Linear Algebra
    • Introduction to Probability Theory, Introduction to Statistics, Estimation and Hypothesis Testing, Linear Regression, Advanced Statistics, Non- and Semiparametric Statistics
    • Econometric Methods, Empirical Applications
    • Orientation Quantitative Finance and Actuarial Sciences, Quantitative Finance, Empirics of Financial Markets, Life Insurance and Pension Funds, Asset Liability Management
    • Case Studies, Organization of Intermediate Thesis
  • PhD courses: Mathematical Finance, Financial Econometrics, Advanced Econometric Methods
  • Furthermore development of courses, guidance of several Bachelor and Master thesis, and guidance of PhD

Keywords

  • Econometrics
  • Statistical Methods
  • Time Series
  • Financial Mathematics

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Research Output

Local Asymptotic Equivalence of the Bai and Ng (2004) and Moon and Perron (2004) Frameworks for Panel Unit Root Testing

Wichert, O., Becheri, I. G., Drost, F. C. & Akker, R. V. D., May 2019, Ithaca: arXiv.org, 70 p. (arXiv; vol. 1905.11184).

Research output: Working paperOther research output

Open Access
File
  • Asymptotic inference for jump diffusions with state-dependent intensity

    Becheri, G., Drost, F. & Werker, B., 1 Jun 2016, In : Scandinavian Journal of Statistics. 43, 2, p. 520-542

    Research output: Contribution to journalArticleScientificpeer-review

  • The power envelope of panel unit root tests in case stationary alternatives offset explosive ones

    Becheri, G., Drost, F., van den Akker, R. & Wichert, O., Jan 2016, In : Statistics & probability letters. 108, p. 1-8

    Research output: Contribution to journalArticleScientificpeer-review

  • Asymptotically UMP panel unit root tests: the effect of heterogeneity in the alternatives

    Becheri, I. G., Drost, F. C. & van den Akker, R., 2015, In : Econometric Theory. 31, 3, p. 539-559 21 p.

    Research output: Contribution to journalArticleScientificpeer-review

  • The Option Value in Timing Derivative Trades

    Drost, F., van der Heijden, T. G. E. & Werker, B., May 2015, Tilburg: SSRN, 52 p.

    Research output: Working paperOther research output

  • Activities

    • 8 Invited talk

    Exchange Rate Target Zones: A New Approach

    F.C. Drost (Speaker)
    24 Apr 1997

    Activity: Talk or presentation typesInvited talkScientific

    A Jump-Diffusion Model for Exchange Rates in a Target Zone

    F.C. Drost (Speaker)
    1 Dec 1997

    Activity: Talk or presentation typesInvited talkScientific

    Exchange Rate Target Zones: A New Approach

    F.C. Drost (Speaker)
    26 Aug 1997

    Activity: Talk or presentation typesInvited talkScientific

    Efficient Estimation in Semiparametric Time Series

    F.C. Drost (Speaker)
    2 Dec 1997

    Activity: Talk or presentation typesInvited talkScientific

    Exchange Rate Target Zones: A New Approach

    F.C. Drost (Speaker)
    2 Apr 1997

    Activity: Talk or presentation typesInvited talkScientific

    Projects

    Limiting experiment for jump-diffusion and panel data models

    Becheri, I. G., Werker, B., Drost, F. C. & van den Akker, R.

    1/09/0921/12/12

    Project: Research project

    Dynamic intraday derivative strategies

    van der Heijden, T. G. E., Werker, B. & Drost, F. C.

    1/09/061/09/10

    Project: Research project

    Testing volatility option pricing models

    Kozarski, R., Melenberg, B. & Drost, F. C.

    1/09/061/09/09

    Project: Research project

    New approaches to derivatives management

    Werker, B., Boes, M. J., Nijman, T. & Drost, F. C.

    1/09/011/09/05

    Project: Research project