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

DEE ConferenceCardiff, 9 September 2009

L Lasselle, University of St Andrews

1. Introduction

2. Series Objectives and Benefits for Participants

3. Organisation

4. 18 January 20101

• 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

Introduction

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• 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

Objectives of the Series

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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

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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.

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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 Alos6

• 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

Dissemination

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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

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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

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