1988 …2019
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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

Fingerprint Dive into the research topics where Feike C. Drost is active. These topic labels come from the works of this person. Together they form a unique fingerprint.

  • 3 Similar Profiles
Efficient Estimation Mathematics
Autoregression Mathematics
Unit Root Tests Mathematics
Integer Mathematics
Local Asymptotic Normality Mathematics
Non-negative Mathematics
Unit Root Mathematics
Time Series Models Mathematics

Network Recent external collaboration on country level. Dive into details by clicking on the dots.

Research Output 1988 2019

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
Equivalence
Panel unit root
Unit root testing
Power envelope
Unit root tests

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

Asymptotic Inference
Jump Diffusion
Volatility
Local Asymptotic Normality
Jump-diffusion Process

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

Unit Root Tests
Envelope
Random Perturbation
Alternatives
Perturbation

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

Panel unit root tests
regression
experiment
Power envelope
Optimal test

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

Derivatives
Option value
Traders
Managers
Time-varying

Activities 1997 1997

  • 8 Invited talk

Exchange Rate Target Zones: A New Approach

F.C. Drost (Speaker)
2 Apr 1997

Activity: Talk or presentation typesInvited talkScientific

Exchange Rate Target Zones: A New Approach

F.C. Drost (Speaker)
24 Apr 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)
19 Feb 1997

Activity: Talk or presentation typesInvited talkScientific

Projects 2001 2012

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

Testing volatility option pricing models

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

1/09/061/09/09

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

New approaches to derivatives management

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

1/09/011/09/05

Project: Research project