Creating a PhD Seminar Series in Advanced Mathematical Methods in Economics & Finance DEE Conference Cardiff, 9 September 2009 L Lasselle, University of St Andrews 1.Introduction 2.Series Objectives and Benefits for Participants 3.Organisation 4.18 January

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 2

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 3

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

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

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

The main lectures are video taped and posted on the internet, accompanied by all slides seminars.htmhttp:// seminars.htm drews_phd/campbell_finance.htmhttp:// drews_phd/campbell_finance.htm Dissemination 7

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

2 nd 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: 9