Feike C. Drost

dr.

Associate Professor, Tilburg School of Economics and Management, Econometrics and Operations Research
Tilburg School of Economics and Management, Research Group: Econometrics
Tilburg School of Economics and Management, Research Group: Finance

Phone+31134662430, +31134663038
EmailF.C.Drost@tilburguniversity.edu

Warandelaan 2, Koopmans Building, room K 504
5037 AB Tilburg
Netherlands

If you made any changes in Pure these will be visible here soon.

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