Master of Science in Stochastics and Financial Mathematics

University of Amsterdam

Program Description

Master of Science in Stochastics and Financial Mathematics

University of Amsterdam

Stochastics examines phenomena in which chance plays a central role, such as election results, fluctuations in stock prices or molecular interactions in a living cell. It can be subdivided into statistics, probability theory and stochastic operations research. Financial mathematics is an important field in the application of stochastics which offers fascinating research possibilities. The Master's programme Stochastics and Financial Mathematics trains you in the full depth and breadth of these fields, in both theory and application.

There is a wide range of specialisations available, based on the many areas in which stochastics is applied, their scope and the challenging problems they pose. Both theoretically inclined and more practically oriented students can select specific courses to suit their personal interests.

The Master's programme is offered in collaboration with Vrije Universiteit Amsterdam. As a result, you profit from the expertise of both universities, as well as the networks and cooperative research projects at these universities.

Courses

This programme focuses on phenomena in which chance plays a central role, such as election results, fluctuations in stock prices or complex networks in a living cell, with a specific focus on Financial Mathematics, an important application field of stochastics.

The curriculum is as follows:

  • Master Seminar in Stochastics & Financial Mathematics (3 EC)
  • Measure Theoretic Probability (8 EC)
  • Elective courses (73 EC, of which 12 EC may be spent on courses outside Mathematics and the possibility to do an internship in the summer)
  • Master's project (36 EC)

Important subjects include:

  • Measure Theoretic Probability (the core mathematics course, serving as foundation for more advanced subjects)
  • Mathematical Statistics (including Nonparametric, Semiparametric and Bayesian Statistics)
  • Stochastic Processes (including Time Series, Lévy Processes and Stochastic Integration)
  • Financial Stochastics
  • Industrial Statistics

Each semester you select four or five subjects from the list of recommended SFM courses. In certain cases, and in consultation

with the Master's coordinator Asma Khedher and the examination board, you can substitute some of these courses with other relevant mathematical course components, such as Partial Differential Equations or Functional Analysis. You can also choose courses from other disciplines, including Mathematics, Econometrics and Bioinformatics. So you can tailor this programme to your interests, in consultation with the master coordinator. You can choose from a large list of courses from either the local programmes at UvA and VU, and from the national Mastermath programme.

Career prospects

As an SFM graduate with excellent grades, you are fully qualified to apply for a PhD position in your field of specialisation. Your strong quantitative abilities will also be in high demand outside of academia, in industry or public service. Typical employers are:

  • banks
  • insurance companies
  • actuarial consultancies
  • forensic institutes
  • statistical or planning agencies
  • railway companies
  • telecommunications companies
This school offers programs in:
  • English


Last updated October 12, 2018
Duration & Price
This course is Campus based
Start Date
Start date
Sept. 2019
Duration
Duration
24 months
Full time
Price
Price
2,060 EUR
EU/EEA students. Non-EU/EEA students €14,630 per year.
Information
Deadline
Locations
Netherlands - Amsterdam, North Holland
Start date : Sept. 2019
Application deadline Request Info
End date Request Info
Dates
Sept. 2019
Netherlands - Amsterdam, North Holland
Application deadline Request Info
End date Request Info