Courses Exchange Display 2026-2027

Courses Year Down
Course Description To PDF
Course title Stochastic Processes
Course code EBC4004
ECTS credits 6,5
Assessment Whole/Half Grades
Period
Period Start End Mon Tue Wed Thu Fri
1 31-8-2026 16-10-2026 X L
Level Advanced
Coordinator Michael Eichler
For more information: m.eichler@maastrichtuniversity.nl
Language of instruction English
Goals
The purpose of the course is to introduce students to the study of stochastic processes in discrete and continuous time. Students will have learned the essentials of the subject and should be able to apply the acquired theoretical tools to problems in econometrics, economics, finance, and other fields.
Description
Deterministic dynamic systems are usually not well suited for modelling real world dynamics in economics, finance and business. Allowing for random components in dynamic systems leads to stochastic dynamic modelling, which is based on stochastic processes. This course covers models of stochastic processes in discrete and continuous time. This includes Markov chains, Poisson processes and Brownian motion. We introduce various tools that are very useful for deriving and understanding the asymptotic properties of modern econometric techniques. They include the functional central limit theorem and stochastic integrals. Finally, we discuss stochastic differential equations and their applications in finance and related fields, e.g. for pricing financial derivatives.
Literature
Mikosch, T., (1998), Elementary stochastic calculus, World scientific Publishing, Singapore.
Reader.
Prerequisites
* Only Master students can take Econometrics Master courses.
* Students require a solid background in mathematical statistics and probability theory on the level of the BSc Econometrics programme.
* An advanced level of English.
Assessment methods (INDICATIVE; course manual is definitive) Participation / Written Exam
Evaluation in previous academic year For the complete evaluation of this course please click "here"
This course belongs to the following programmes / specialisations
Master Business Research - No specialisation In transition - Year 2 Methodology Electives
Master Business Research - Operations Research In transition - Year 1+2 Elective Courses
Master Econometrics and Operations Research In transition - Compulsory Courses
Master Economic and Financial Research - Econometrics and Operations Research In transition - Year 1 Compulsory Courses
Master Economic and Financial Research - No specialisation In transition - Elective Courses
Master Financial Economics - Asset Pricing In transition - Elective Courses
Master Financial Economics - Banking In transition - Elective Courses
Master Financial Economics - Financial Analysis In transition - Elective Courses
Master Financial Economics - No specialisation In transition - Elective Courses
SBE Exchange Master Cancelled
SBE Non Degree Courses Cancelled
Transitional Regulations
  • Master Business Research - No specialisation
  • Master Business Research - Operations Research
  1. In 2024-2025 and 2025-2026 education and exam/resit opportunities are offered.
  2. In 2026-2027 exam/resit opportunities are offered.
  3. From 2027-2028 onwards, the course is cancelled.
Academic YearEducationExam/ResitReplacement(s)
2024-2025 - 2025-2026XX 
2026-2027 X 
2027-2028 onwards   

  • Master Econometrics and Operations Research [2025-2026 and earlier]
  • Master Economics and Financial Research [2025-2026 and earlier]
  1. In 2026-2027 education and exam/resit opportunities are offered.
  2. In 2027-2028 exam/resit opportunities are offered.
  3. In 2028-2029, the course is cancelled.

Note that from 2026-2027 onwards, EBC4008 "Time Series Econometrics" is offered as a replacement course. If you have already succesfully completed EBC4008, replacement course is EBC4286 "Convex Optimisation for Data Science and AI".

Academic YearEducationExam/ResitReplacement(s)
2026-2027XXEBC4008 "Time Series Econometrics". If you have already succesfully completed EBC4008, replacement course is EBC4286 "Convex Optimisation for Data Science and AI".
2027-2028 XEBC4008 "Time Series Econometrics". If you have already succesfully completed EBC4008, replacement course is EBC4286 "Convex Optimisation for Data Science and AI".
2028-2029  EBC4008 "Time Series Econometrics". If you have already succesfully completed EBC4008, replacement course is EBC4286 "Convex Optimisation for Data Science and AI".

  • Master Financial Economics [2025-2026 and earlier]
  1. In 2026-2027 and 2027-2028 exam/resit opportunities are offered.
  2. In 2028-2029, the course is cancelled.
Academic YearEducationExam/ResitReplacement(s)
2026-2027 - 2027-2028 X 
2028-2029