Courses in 2003/04 (2. Cycle)


Precourse Events (2003/04)

  • S-PLUS Essentials for Finance (Introductory course, 14 October 2003 until 16 October 2003, ETH Zurich)
  • Risk Day 2003 (Friday, 17 October 2003, ETH Zurich)
  • Welcome meeting for MAS Finance participants (Monday, 20 October 2003)

First Semester (2003/04)

Duration: 20 October 2003 until 6 February 2004
Christmas Break: 20 December 2003 until 4 January 2004
Lectures at ETH start 21 October 2003

Core courses Class hours
per week
ECTS
credits
*
Lecturer(s) Time Location Uni ZH
cata-
logue
number
ETHZ
catalogue
number
Mathematical Finance: Discrete
and Continuous Time Models
2h 5 Prof. Dr. Marc Chesney
Prof. Dr. Thorsten Rheinländer
Mo. 
15-17
ETHZ,
HG D3.2
  401-
4911-
00
Mathematical Foundations
of Finance
2h + 1h 5 Prof. Dr. Freddy Delbaen
Prof. Dr. Philipp Schönbucher
Tu. 
15-17
Tu. 
17-18
ETHZ,
HG E1.2
  401-
3913-
00
Risk Theory
(substitute for Insurance Analytics)
2h 5 Prof. Dr. Paul Embrechts
Th. 
13-15
ETHZ,
HG E1.1
  401-
4915-
00
Corporate Finance 2h 3 Prof. Dr. Michel Habib Tu. 
13-15
Uni ZH,
KOL G 220
402 401-
8913-
00
Financial Economics 2h 3 Dr. Anke Gerber Th. 
10-12
Uni ZH,
KOL F 123
333 401-
8915-
00
Empirical Methods for Finance 3h 6 Prof. Dr. Alexander McNeil    We. 
15-16
ETHZ, HG D7.2   401-
3629-
00
Th. 
15-17
ETHZ, HG D1.2
Financial Institutions
and Financial Markets
2 h 3 Prof. Dr. Hans Geiger Th. 
17-19
Uni ZH,
KOL H 321
334 401-
8917-
00
Behavioral Finance
(for specialization in Asset Management)
2h 3 Dr. Urs Fischbacher Mo. 
8-10
Uni ZH,
RAI-G-041
317 401-
8919-
00
Real Options
(optional course)
2h 3 Prof. Dr. Rajna Gibson We. 
10-12
Uni ZH,
PLM 103/104
359  
Introduction to Stochastic Control
(optional course)
3h + 1h 9 Prof. Dr. Martin Schweizer We. 
10-12
ETHZ, HG D1.2   401-
4937-
00
Th. 
8-10
ETHZ, HG E7
*Assignments are preliminary.


Second Semester (2003/04)

Duration: Monday, 29 March 2004 until Friday, 2 July 2004.

I. Mandatory courses Class hours
per week
ECTS
credits
*
Lecturer(s) Time Location Uni ZH
cata-
logue
number
ETHZ
catalogue
number
Financial Theory
and Asset Pricing
2h 3 Prof. Dr. Rajna Gibson We.
10-12
Uni ZH,
KOL-F-103
384 401-
8912-
00
Derivatives and
Financial Engineering
3h+1h 6 Prof. Dr. Marc Chesney
Prof. Dr. Markus Leippold
Mo. 
13-15
Uni ZH, PLM 103/104 385 401-
8914-
00
Tu. 
13-14
Uni ZH,
KOL-G-220
Thu. 
12-13
ETHZ, HG F5
Insurance Analytics
(substituted by
Risk Theory)
2h 5   already given
in the First Semester 2003/04
   
 
II. Specializations: Participants can choose between two distinct orientations (A) and (B):
 
(A) Quantitative Finance and Risk Management
Term Structure and
Credit Risk Models
3h 7 Prof. Dr. Freddy Delbaen
Prof. Dr. Ph. Schönbucher
Tu.  15-16
(sometimes Tu. 15-17
by special arrangement)
We. 15-17
ETHZ, HG D1.1   401-
4916-
00
Quantitative Methods
for Risk Management
3h 7 Prof. Dr. Alexander McNeil Mo 11-12 ETHZ, HG D7.2   401-
4918-
00
Th. 10-12 ETHZ, HG D7.2
Risk-based Supervision** 2h 4 Dr. Damir Filipovic Tu. 18-20 ETHZ, HG D1.2   401-
3952-
00
Risk Management** 2h 4 Prof. Dr. 
Paul Embrechts
Th. 13-15 ETHZ, HG F5   401-
3914-
00
(B) Asset Management
Asset Allocations and
Performance Measurement
2h 3 Dr. Nils Tuchschmid Fr.  Uni ZH 388 401-
8922-
00
Theory of Banking and
Financial Intermediation
3h 4.5 PD Dr. Urs Birchler* Mo. 9-12 Uni ZH,
KOL-H-309
387 401-
8924-
00
Empirical Methods
(Time Series Models)
2h+1h 4,5 Prof. Dr. Marc Paolella We. 16-19 Uni ZH,
PLM 103/104
262 401-
8926-
00
Behavioral Finance 2h 3   already given
in the First Semester 2003/04
     
 
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
2h+1h 7 Dr.  Ana-Maria Matache Tu. 14-15 ETHZ, HG D7.2   401-
4658-
00
Th. 15-17 ETHZ, HG G3
Corporate Investments,
Real Options and
Financial Structuring
2h 3 Dr. Pascal Botteron Fr.14-18, each two weeks
 
Uni ZH 389 401-
8932-
00
Computational Statistics 3h+1h 8 Prof. Dr. Peter Bühlmann Th. 13-15
Fr. 10-12
ETHZ,
HG F3
  401-
3632-
00
Corporate Finance (II) 2h 3 Prof. Dr. Michel Habib Tu. 14-16 Uni ZH,
KOL-G-220
386  
Stochastic Processes
for Mathematical Finance
2h+1h 6 Prof. Dr. 
Martin Schweizer
We. 8-10 ETHZ, HG G26.5   401-
3954-
00
Th. 9-10 ETHZ
Dynamics on Financial Markets 2h 3 Dr. Stefan Reimann We. 12-14 Uni ZH,
ZUI-AA-004
267  
*Assignments are preliminary.

**One of these two courses is mandatory within specialization A.



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