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Creating a PhD Seminar Series in Advanced Mathematical Methods in Economics & Finance

Creating a PhD Seminar Series in Advanced Mathematical Methods in Economics & Finance. DEE Conference Cardiff, 9 September 2009 L Lasselle, University of St Andrews Introduction Series Objectives and Benefits for Participants Organisation 18 January 2010. 1. Introduction. Brief History

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Creating a PhD Seminar Series in Advanced Mathematical Methods in Economics & Finance

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  1. Creating a PhD Seminar Series in Advanced Mathematical Methods in Economics & Finance • DEE Conference • Cardiff, 9 September 2009 • L Lasselle, University of St Andrews • Introduction • Series Objectives and Benefits for Participants • Organisation • 18 January 2010 1

  2. Introduction • Brief History • “Original” application • Economics Network – Learning & Teaching Development project • Podcast the lectures • But… • GRADskills, SGPE • Economics Network (Martin Poulter) • Inaugural lecture by Dr Campbell in November 2008 2

  3. Objectives of the Series • To guide students through mastering methods • To present a manifold of applications by an expert in the field • To encourage interaction and discussion between participants 3

  4. Benefits for the participants • To increase their understanding in mathematics • To gain confidence to engage with and use advanced mathematics in solving problems • To establish a mathematical exchange platform between participants 4

  5. Structure – a typical day • A 80 minute morning lecture • “Lunch break” • A 80 minute afternoon lecture • Coffee break • A 60 minute session for discussion, addressing specific questions etc. 5

  6. List of topics • Stochastic Optimal Control and Optimal Investment with particular focus on Market Crashes – Ralf Korn • Brownian Functionals and Applications in Asian Options Distributions and Econometrics – Marc Yor • Heterogeneous Agent Models and Evolutionary Dynamics – Thomas Lux • Stochastic Differential Equations: Theory and Simulation – Evelyn Buckwar • Dynamical Systems and Applications – Pierre Cartigny • Value at Risk and Self-similarity, Theory and Empirics – Olaf Menkens • Advanced Topics in Econometrics and Time Series – Rod McCrorie • Fractional Brownian Motion and how to model memory – Elisa Alos 6

  7. Dissemination • The main lectures are video taped and posted on the internet, accompanied by all slides • http://www.economicsnetwork.ac.uk/events/phd_seminars.htm • http://www.economicsnetwork.ac.uk/archive/standrews_phd/campbell_finance.htm 7

  8. Achievements • Series took place! • Audience (3 – 19) • not only from Economics, but also Maths, Stats, Management and Biology • PhD students, Postdoc Fellows, MPhil and MSc students and staff • Great feedbacks BUT: • Interaction between people (with different backgrounds) • Discussion session 8

  9. 2nd Series starts on 18th January 2010 • Successful bid: SIRE and GRADskills • Advanced Quantitative Methods in Economics & Finance • Travel scholarships for participants • PhD presentations • More information: http://www.sire.ac.uk/AQMworkshop.html 9

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