Stochastics

Dir­ect­or of the spe­cial­iz­a­tion

Konstantin Izyurov

Per­son re­spons­ible for dis­cuss­ing the study plans

Konstantin Izyurov

Model study plan

Ex­ample 1

A student inclined to study Probability on advanced level, possibly with a goal to pursue a Ph. D. in the field.

Year 1, Autumn
Probability theory I+II
Functional analysis
Mathematical finance I-II
Optimal stochastic control with applications to finance

Year 1, Spring
Topics in Probability I+II
Stochastic Analysis I+II
Introduction to mathematical physics

Year 2, Autumn
Malliavin calculus
Spectral theory
Topics in mathematical physics

Year 2, Spring
Pro gradu seminar and thesis.

Example 2

A student interested in more applied aspects of Stochastics.

Year 1, Autumn
Probability theory I+II,
Risk theory
Financial mathematics I+II
Optimal stochastic control with applications to finance

Year 1, Spring
Topics in Probability I
Stochastic Analysis I+II
Advanced risk theory
Tariff theory

Year 2, Autumn
Malliavin calculus
Life insurance mathematics
Mathematical modelling

Year 2, Spring
Pro gradu seminar and thesis.