Courses in 2002/03 (1. Cycle)


Precourse Events (2002/03)

  • S-PLUS Essentials for Finance (Introductory course, 15 October 2002 until 17 October 2002, ETH Zurich)
  • Risk Day 2002 (18 October 2002, ETH Zurich)
  • Welcome meeting for MAS Finance participants (18 October 2002)

First Semester (2002/03)

Duration: 21 October 2002 until 8 February 2003
Christmas Break: 21 December 2002 until 5 January 2003

Core courses Class
hours
per
week
ECTS
credits
Lecturer(s) Time Location
Mathematical Finance: Discrete
and Continuous Time Models
2 h 5 Prof. Dr. Freddy Delbaen
Prof. Dr. Thorsten Rheinländer
PD Dr. Uwe Schmock
Prof. Dr. Philipp Schönbucher
Mo. 
15-17
ETHZ,
HG D3.2
Mathematical Foundations
of Finance
2 h + 1 h 5 Prof. Dr. Freddy Delbaen
Prof. Dr. Thorsten Rheinländer
PD Dr. Uwe Schmock
Prof. Dr. Philipp Schönbucher
Tu. 
15-17
Tu. 
17-18
ETHZ,
HG E1.2
Corporate Finance 2 h 3 Prof. Dr. Michel Habib Tu. 
13-15
Uni ZH, 
KOL H 320
Financial Economics 2 h 3 Prof. Dr. Thorsten Hens Fr. 
10-12
Uni ZH, 
KOL F 123
Empirical Methods for Finance 3 h 6 Prof. Dr. Alexander McNeil    We. 
15-16
Th. 
15-17
ETHZ,
HG E1.1
ETHZ,
HG D1.2
Financial Institutions
and Financial Markets
2 h 3 Prof. Dr. Hans Geiger
PD Dr. Urs Birchler
Th. 
17-19
Uni ZH,
KOL J 401
Risk Management
(for specialization in Quantitative
Finance and Risk Management)
2 h 4 Prof. Dr. Paul Embrechts Th. 
13-15
ETHZ,
HG E1.1


Second Semester (2002/03)

Duration: 31 March 2003 until 5 July 2003

I. Mandatory courses Class hours
per
week
ECTS
credits*
Lecturer(s) Time Location Uni ZH
catalogue
number
ETHZ
catalogue
number
Financial Theory
and Asset Pricing
2 h 3 Prof. Dr. Rajna Gibson We. 
10-12
Uni ZH,
SOE-E-7
377 90-738
Derivatives and
Financial Engineering
3 h 6 Prof. Dr. Markus Leippold
Prof. Dr. Marc Chesney
Mo. 
13-15
Tu. 
13-14
Uni ZH,
PLM-1-103/4
2922 90-740
Insurance Analytics 2 h 4 Dr. Peter Antal Mo. 
16-18
ETHZ, HG E1.2   90-714
 
II. Specializations: Participants can choose between two distinct orientations (A) and (B):
 
(A) Quantitative Finance and Risk Management
Term Structure and
Credit Risk Models
3 h 6 Prof. Dr. Freddy Delbaen
Prof. Dr. Uwe Schmock
Prof. Dr. Ph. Schönbucher
Tu. 
15-17
We. 
16-17
ETHZ, HG D1.1 2923 90-722
Quantitative Methods
for Risk Management
3 h 6 Prof. Dr. 
Alexander McNeil
We. 
15-16
ETHZ, HG F3   90-724
Th. 
10-12
ETHZ, HG D7.2
Risk Management - - (as an exception already given
in the WS 2002/03)
- - - -
(B) Asset Management
Asset Allocations and
Performance Measurement
3 h 4.5 Dr. Nils Tuchschmid Fr. 
13-16
Uni ZH,
KOL-F-103
2946 90-830
Theory of Banking and
Financial Intermediation
3 h 4.5 PD Dr. Urs Birchler* Mo. 
9-12
Uni ZH,
KOL-H-309
2947 90-836
Empirical Methods
(Time Series Models)
2 h + 1 h 3 Prof. Dr. Markus Leippold We. 
16-18
We. 
18-19
Uni ZH,
PLM-1-103/4
266
267
90-840
 
III. Optional Courses: One optional course with at least two hours of lectures per week is required.
Possible courses are given in the following table, other courses may be taken upon request.
 
Computational Methods
for Quantitative Finance
2 h + 1 h 5 Prof. Dr. 
Christoph Schwab
Mo. 
15-16
ETHZ, HG D1.2   90-824
Fr. 
8-10
ETHZ, HG D1.1
Corporate Investments,
Real Options and
Financial Structuring
2 h 3 Dr. Pascal Botteron Tu. 
17-19
Uni ZH,
SOE-E-2
2948 90-832
Incomplete Markets 2 h 4 Prof. Dr. Th. Rheinländer Tu. 
10-12
ETHZ, HG E1.2   90-842
Computational Statistics 3 h + 1 h 6 Prof. Dr. Peter Bühlmann Th.
13-15
Fr.
10-12
ETHZ,
HG F3
  90-656
Stochastic Processes
for Mathematical Finance
2 h + 1 h 6 Prof. Dr. 
Erwin Bolthausen
We. 
8-10
ETHZ, HG E33.1 2336 90-734
Do. 
9-10
ETH,
HG D5.1
Economics of Insurance 2 3 Prof. Dr. Peter Zweifel Tu. 
8-10
Uni ZH,
KOL-F-103
286 90-736
Methods of
Stochastic Optimization
2 3 Prof. Dr. Peter Kall Tu. 
14-16
Uni ZH,
KO2-F-172
338 90-552
Applications of Stochastic
Optimization in Finance
2 3 PD Dr. János Mayer Th. 
14-16
Uni ZH,
KOL-F-103
337 90-748
*Assignments are preliminary.



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