Feike C. Drost
  • Warandelaan 2, Koopmans Building, room K 504

    5037 AB Tilburg

    Netherlands

1988 …2019

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Personal profile

Research interests

Feike C. Drost is associate professor in Mathematical Statistics and Quantitative Finance at the Department of Econometrics & OR.

Refereed Publications: click here

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

 

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

 

Teaching

Feike taught a wide variety of courses in mathematics, probability, and statistics and their applications in econometrics, quantitative finance, and actuarial science, He supervised a large number of BSc, MSc, and PhD projects. Currently, Feike teaches the following courses:

  • 35B402 Probability and Statistics
  • 35B501 Statistics for Econometrics
  • 35V6A3 Life Insurance
  • 323624 Data-Analyse

 

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

 

 

 

 

 

 

Current courses

Click here for my courses.

Keywords

  • Econometrics
  • Statistical Methods
  • Time Series
  • Financial Mathematics