Stochastics and Financial Mathematics


The field of Stochastics covers the areas of science that are concerned with processes in which chance plays a central role.

Usually the field is subdivided into Statistics, Probability Theory and Stochastic Operations Research. Financial Mathematics is an important field of applications of stochastics. The mathematical point of view for questions in finance has its own virtue and is an interesting subject of research. In view of the relevance of the numerous areas of research in which stochastics is applied, and in view of the reach of these areas of research and their challenging theoretical problems, this master offers a broad spectrum of possible specializations. The theoretically inclined, as well as the more applied master student, will have the possibility to choose a program adapted to his/her personal interests.


Level Master
Language English
Duration 2 years
Type Fulltime
Credits 120 EC
Faculty Faculty of Science
Stochastics and Financial Mathematics designated SFM courses
Each student has to choose 67 European credits (EC) optional courses.

• at least 12 EC (at least two out of four) from the Financial
Mathematics courses:
- Computational Finance (XMU_418045, 6 EC)
- Interest Rate Models (X_418091, 6 EC)
- Portfolio Theory (X_400535, 6 EC)
- Stochastic Processes for Finance (X_400352, 6 EC)

• at least 12 EC (at least two out of eight) from the Advanced SFM list:
- Discrete Choice Analysis: Theory and Application (XMM_0014, 8 EC)
- Interest Rate Models (X_418091, 6 EC)
- Percolation: from Introduction to Frontiers of Current Research
(XMM_0012, 8 EC)
- Portfolio Theory (X_400535, 6 EC)
- Queues and Levy Fluctuation Theory (XMU_0002, 6 EC)
- Statistical Theory for High- and Infinite-Dimensional Models
(XMM_0008, 8 EC)
- Statistics for High-Dimensional Data (X_405113, 6 EC)
- Statistics for Networks (X_405110, 6 EC) (2018-2019)

• the rest of the 120 EC can be chosen from the list of suggested
courses below:
Course Name Period Credits Code
Applied Stochastic Modeling P1+2 6EC X_400392
Asymptotic Statistics P1+2 8EC X_400323
Functional Analysis P1+2 8EC X_400328
Interest Rate Models P1+2 6EC X_418091
Partial Differential Equations P1+2 8EC X_400330
Portfolio Theory P1+2 6EC X_400535
Simulation Methods in Statistics P1+2 6EC X_400258
Statistical Models P1+2 6EC X_400418
Stochastic Optimization P1+2 6EC X_400336
Stochastic Processes for Finance P1+2 6EC X_400352
Computational Finance P4 6EC XMU_418045
Applied Analysis: Financial Mathematics P4+5 6EC X_400076
Optimization of Business Processes P4+5 6EC X_400422
Queueing Theory P4+5 6EC X_400397
Queues and Levy Fluctuation Theory P4+5 6EC XMU_0002
Statistical Theory for High- and Infinite-Dimensional Statistics P4+5 8EC XMM_0008
Statistics for High-Dimensional Data P4+5 6EC X_405113
Statistics for Networks P4+5 6EC X_405110
Stochastic Differential Equations P4+5 6EC X_400454
Stochastic Integration P4+5 8EC X_400470
Stochastic Processes P4+5 8EC X_400339
Time series P4+5 8EC X_400571