Photo of Feike C. Drost
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.



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



  • 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 



  • Oliver Wichert, with Bas J.M. Werker


Current courses

Click here for my courses.


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


  • Econometrics
  • Statistical Methods
  • Time Series
  • Financial Mathematics


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