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Department of Probability Theory,
and Actuarial Mathematics

Mechanics and Mathematics

Tel/Fax: +38 (044) 431 04 67


Special issue of the Austrian Journal of Statistics with the participation of University scientists

Special issue of the Austrian Journal of Statistics has been published, which is devoted to the modern achievements of Ukrainian scientists in the field of probability theory and mathematical statistics. The title of the issue is "Recent Trends in Probability and Statistics in Ukraine". The journal is published by the Austrian Statistical Society, indexed in the databases Scopus and Web of Science.

The issue was initiated by the Editor of the Austrian Journal of Statistics Professor Matthias Templ to express solidarity with Ukraine and to support Ukrainian scientists.

The Guest Editors who organized this issue are from Taras Shevchenko National University of Kyiv: Professor, Doctor of Sciences Alexander Iksanov (Head of the Department of Operation Research, Faculty of Computer Science and Cybernetics) and Doctor of Sciences Lyudmyla Sakhno (Leading scientific researcher, Department of Probability Theory, Statistics and Actuarial Mathematics, Faculty of Mechanics and Mathematics).

The issue is prepared in collaboration between two faculties, represented by the Guest Editors, and the Editor of the journal, Professor Matthias Templ (University of Applied Sciences and Arts Northwestern Switzerland).

Among other support for Ukrainian scientists, which is currently provided by foreign institutions and organizations, we consider very important such unique support as the publication of a special issue of the Austrian Journal of Statistics, dedicated to the achievements of Ukrainian scientists. The issue presents some modern trends of research of the scientific school on Probability Theory and Mathematical Statistics of KNU. In particular, young scientists and PhD students of the university had the opportunity to publish their results. In total, the authors of the articles are 11 university employees, 5 PhD students and 1 Master degree student. The issue also contains the articles by scientists from the Igor Sikorsky Kyiv Polytechnic Institute and the Kyiv School of Economics.

We would like to express our sincere gratitude to Professor Matthias Templ for his support and for organization of this issue.

Congratulations to our colleagues who presented their results in the issue: V.Golomoziy, K.Ralchenko, L.Sakhno, S.Shklyar, R.Yamnenko, PhD students D.Tykhonenko and M.Yakovliev, Master Degree student O.Moskanova.

Course "Algorithmic Trading and Market Making"

Professor Jan Obloj, Mathematical Institute, University of Oxford, in the autumn semester will deliver a master course

Algorithmic Trading and Market Making

For master students who is specialized in Actuarial and Financial mathematics, Statistics and Mathematics.

The course will be for 10 academic hours. It will be incorporated into the courses Stochastic processes in Finance and Insurance and Risk processes and problems of Actuarial Mathematics for the 2nd year master students.

Schedule of the lectures:
Tuesday 2-4 pm UK time, 17th Oct, 31st Oct, 7th of Nov, 14th of Nov and 21st of Nov in Microsoft teams
Meeting ID: 357 964 079 315
Passcode: eCwNrm
After lectures there will be a control work, and the results will be incorporated into the points for respective courses.

Course Overview:
This course will cover different aspects of Algorithmic and High Frequency trading. We will look at how the limit order book works and discuss how and why we could model it. We will devise trading algorithms which take market microstructure into the account. In particular, we will look at the problems of optimal liquidation/acquisition and of market making. For the former, we will discuss the classical Almgren-Chriss setting with permanent and instantaneous market impact and discuss the resulting TWAP and VWAP execution strategies. We will also consider a transient price impact model of Obizhaeva-Wang. This will lead us to consider market efficiency and possible notions of no-arbitrage. We will discuss price manipulation strategies and investigate when models allow, or not, for such strategies.

Information about the course "Machine learning algorithms"

The Department of Probability Theory, Statistics and Actuarial Mathematics is pleased to announce the continuation of fruitful cooperation with leading world universities. So, after the extremely successful course "Machine Learning in Finance", taught in the first semester by Prof. Joseph Teichman, we announce the next course, which will be read by teachers of European universities. We are talking about the "Machine Learning Algorithms" course for third-year bachelors.

The curriculum consists of 14 lectures delivered over seven weeks starting on March 13, 2023, as well as four laboratory assignments. It is devoted to an overview of machine learning methods such as regression models, classification models, and basic neural networks.

The course will be read by

  1. Ralp Rudd, Reykjavik University (Iceland)
    Dr Ralph Rudd is an Assistant Professor in Financial Engineering at Reykjavik University. He has a PhD in Quantitative Finance from the African Institute for Financial Markets and Risk Management, a top-100 mathematical finance program worldwide, as rated by Eduniversal. He specializes in numerical and computational methods in finance, with a current interest in neural networks and specifically neural-SDEs.
  2. Ramon Prat Casanovas, Autonomous University of Barcelona (Spain)
    Professor Ramon Prat is Adjunct Lecturer of Finance and Capital Markets at the Autonomous University of Barcelona, UAB. He holds an MBA from Esade Business School and a Master of Mathematics of Financial Instruments by the UAB. He works as independent financial consultant and advisor and has experience with projects with leading companies and entrepreneurs.
  3. Petra Posedel Simovic, University of Zagreb (Croatia)
    Petra Posedel Simovic, PhD is an Assistant professor at the University of Zagreb, Faculty of Agriculture. Petras main scientific interest is in the field of mathematical statistics and data science with a special focus on stochastic volatility models, econometrics and business analytics. She is currently a team member at the Croatian Science Foundation's Installation Research Projects (HRZZ) Programme "Deep Reinforcement Learning Algorithms for Risk Management - DREAM".
Ralph RuddRamon Prat CasanovasPetra Posedel Simovic
The language of teaching is English.

The educational program is coordinated with the program of the course "Algorithms of machine learning", which was developed and taught at the Kyiv University for students of 3rd year. On the part of the university, the course will be accompanied by teachers and graduate students of the Department of Probability Theory, Statistics and Actuarial Mathematics under the guidance of Vitaly Holomozy. In particular, regular consultations regarding course material and laboratory work will be held in accordance with the current schedule.

Lectures will be held on Mondays and Wednesdays, starting at 2:05 p.m. Detailed curriculum and time table.

Course Machine learning in finance

Dear Professor Josef Teichmann,

on behalf of the Faculty of Mechanics and Mathematics and the Department of Probability theory, Statistics and Actuarial mathematics, we would like to express our deep gratitude for your efforts to support Ukraine and our University in such a difficult time.

The course "Machine Learning in Finance" you delivered in autumn-winter 2022 has been accepted with great enthusiasm among the students and University staff. The overall number of registrants was close to one hundred. Among them, we had students, teachers, post-graduate students and even some former students who expressed their willingness to join the course. Unfortunately, many registered participants could not join the live lectures due to problems with the power supply and repeated missiles attack, some of which occurred during the lecture time. However, we received many requests to view the recordings. The feedback we received from the participants was very positive. They were impressed by the way how profound mathematical theory was connected and applied to practical problems. Students with insufficient background in functional analysis appreciated numerous demonstrations in python and rigorous but understandable elucidation of the deep neural network theory and its application in finance.

Summarizing the above, we want to thank you for your highly professional and dedicated delivery of the "Machine Learning in Finance" course and your willingness to collaborate, answer questions, and provide additional materials and exercises. We hope and believe this course will give birth to a fruitful collaboration in future!

And finally, we will never forget that you and ETH Zurich University stand with Ukraine in the dark moment in our modern history.

Head of the Department of Probability theory, Statistics and Actuarial mathematics
Prof. Dr. Yuliya Mishura

International Scientific Practical Conference "Shevchenkivska Vesna 2022" and
International workshop "Random Fields and Their Applications"
took place online on April 14, 2022

Young scientists, graduate students, students and schoolchildren from all over Ukraine took part in the Shevchenko Spring - 2022 . More than 40 participants made topical reports during the conference.

An international workshop Random fields and their applications, dedicated to the 90th anniversary of Mykhailo Yadrenko`s birth, was an equally interesting scientific event.

Mykhailo Yadrenko is a legendary professor at the Faculty of Mechanics and Mathematics of Taras Shevchenko National University of Kyiv. He has published more than 200 scientific papers on random field theory and stochastic analysis. For 32 years he was the head of the Department of Probability Theory and Mathematical Statistics of the Kyiv National University.

Today, the subject, pioneered by Mykhailo Yadrenko, is very relevant and has many applications, in particular in astrophysics. Leading scientists from all over the world responded to the invitation of the Head of the organizing committee Yulia Mishura. Scientists from Ukraine, France, Italy, Germany, Luxembourg, Sweden, Australia, the USA and the United Kingdom made reports. The participants of the workshop noted the courage with which the Ukrainian people are fighting against the aggressor, and paid tribute to Ukrainian scientists who continue to work for such a difficult time for the development of scientific life.

International Conference
Modern Stochastics: Theory and Applications. V (MSTA-V)
June 1-4, 2021

The International Conference Modern Stochastics: Theory and Applications. V was held online at Taras Shevchenko National University of Kyiv on June 1-4. The conference was organized by the Department of Probability Theory, Statistics and Actuarial Mathematics of the Faculty of Mechanics and Mathematics.

About 50 plenary lectures as well as talks within 10 sections covering various areas of probability theory, mathematical statistics, theory of random processes, stochastic analysis and their applications were presented at the conference. Plenary lectures were given by Professors Martin Grothaus (Germany), Domenico Marinucci (Italy), Nicolai Krylov (USA), Mark Podolskij (Luxembourg), Miklos Rasonyi (Hungary), Rene Schilling (Germany) and others. Special sections were devoted to recent achievements in the research areas initiated by outstanding mathematicians Anatoliy Skorokhod, Volodymyr Korolyuk, Igor Kovalenko and Yuri Kozachenko.

The section Stochastic optimization was devoted to the 80th birthday of the corresponding member of the National Academy of Sciences of Ukraine Pavlo Knopov.

The Dean of the Faculty of Mechanics and Mathematics Professor Oksana Bezushchak and the Head of the Department of Probability Theory, Statistics and Actuarial Mathematics Professor Yuliya Mishura greeted the participants at the opening of the conference on June 1.

The conference was attended by prominent scientists from Ukraine and all over the world, young researchers, PhD and underground students. The geographical representation of the participants is extremely wide: to discuss recent results, the conference brought together scientists from 31 countries from Australia and Japan to the United States and Canada, including most European countries.

More information is available on the webpage of the conference: https://probability.knu.ua/msta5/

International Conference MSTA-IV
Modern Stochastics: Theory and Applications. IV
From a student to an academician

Recently at the Faculty of Mechanics and Mathematics of Taras Shevchenko National University of Kyiv there was held the International Scientific Conference MSTA-IV Modern Stochastics: Theory and Applications. IV.

The Conference Modern Stochastics: Theory and Applications. IV was dedicated to the 100-th anniversary of the prominent Ukrainian mathematician Iosif Ilyich Gikhman (26.05.1918-30.07.1985), one of the founders of Ukrainian probabilistic school. Iosif Ilyich had been working at the Faculty of Mechanics and Mathematics of Taras Shevchenko National University of Kyiv since 1948 untill 1966 as Assistant Professor, Professor and the Head of the Deapartment of Probability Theory and Mathematical Statistics.

Co-organizers of the Conference: Plenary Lectures and Sections of the Conference were held at the Faculty of Mechanics and Mathematics and at the Faculty of Computer Science and Cybernetics.

118 scientists (aged 21 to 93 years old!) from 10 countries, namely: Belarus, Finland, Germany, Lithuania, Poland, Russia, Spain, Sweden, Ukraine, USA, participated in the Conference.

The largest number of participants in the Conference were Ukrainians representing 15 Ukrainian universities and academic institutions. This indicates the great scientific potential of Ukraine in the field of probability theory and its applications.

Among the speakers of the conference, there were two academicians of the National Academy of Sciences of Ukraine Volodymyr Semenovych Koroliuk and Igor Mykolaiovych Kovalenko, 90 professors, doctors and candidates of sciences, 17 post-graduate students and 3 students.

During the Conference, 19 plenary lectures were given and 6 sections were held, in which 71 reports were presented:
  • Stochastic processes in functional spaces
  • Fractional calculus and stochastic differential equations
  • Complex dynamical systems
  • Statistics of stochastic processes and random fields
  • Fractal analysis of singular probability measures and its applications
  • Applications of probability and statistics
Within the framework of the Conference, there was organized a meeting with the staff of the Faculty of Physics, Mathematics and Informatics of Pavlo Tychyna Uman State Pedagogical University and the solemn laying of flowers to the memorial plaque of Iosif Ilyich Gikhman in the city of Uman

Co-chairs of the Organizing Committee Yuliya Mishura and Yuriy Kozachenko are sincerely grateful to all the participants who attended the Conference and presented talks!

And a special thanks to the friendly team that worked on the preparation and realization of MSTA-IV: the Head of the research laboratory, Professors, Senior scientific Researchers, Associate Professors, Junior scientific Researchers, Assistant Professors, Postdoctoral Students, Engineers, Laboratory Assistants, PhD Students and Students!

About the Department
Recent and Upcoming Events
Defense of the Ph.D. thesis of Mykyta Yakovlev on the topic "Estimation of parameters in linear models with errors in variables and with mixed fractional Brownian motion"

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The department of Probability Theory, Statistics and Actuarial Mathematics at Kyiv University is one of the top statistical departments in Ukraine. The department has a long record of excellence in teaching, research and consulting connected with challenging applications of statistics, particularly in insurance, finance, and economics. The department is the largest in the country in terms of undergraduate numbers and places on courses are amongst the most sougth after. Wide-ranging degree programmes with an excellent teaching quality assessment rating are offered. The department runs a lively programme for PhD where teaching and research are well integrated. The department has an internationally recognized record of academic research by faculty with wide ranging interests in theoretical and applied fields.