Courses in 2004/05 (3. Cycle)


Precourse Events (2004/05)

  • S-PLUS Essentials for Finance (Introductory course, 12 October 2004 until 14 October 2004, ETH Zurich)

  • Risk Day 2004 (Friday, 15 October 2004 ETH Zurich)

  • Welcome meeting for MAS Finance participants (Wednesday, 3 November 2004, 18.00-20.30)

First Semester (2004/05)

Duration: 18 October 2004 until 5 February 2005
Christmas Break: 24 December 2004 until 8 January 2005
Lectures at ETH start 19 October 2004

Courses Class hours
per week
ECTS
credits
*
Lecturer(s) Time Location Uni ZH
cata-
logue
number
ETHZ
catalogue
number
 
I. Mandatory Courses
Mathematical Finance: Discrete
and Continuous Time Models
2h 5 Prof. Dr. Marc Chesney
Prof. Dr. Philipp Schönbucher
Mo. 
15-17
ETHZ,
HG D3.2
396 401-
4911-
00
Mathematical Foundations
of Finance
2h+1h 5 Prof. Dr. Freddy Delbaen
Dr. Sebastian Maass
Fr. 
9-12
ETHZ,
HG E33.5
3034 401-
3913-
00
Advanced Corporate Finance I 2h 3 Prof. Dr. Michel Habib Tu. 
12-14
Uni ZH,
KO2
F-155
401 401-
8913-
00
Financial Economics 2h 3 Dr. Anke Gerber Th. 
10-12
Uni ZH,
KOL
F-123
331 401-
8915-
00
Quantitative Methods for Risk Management I 3h 6 Prof. Dr. Alexander McNeil
Prof. Dr.  Paul Embrechts    
We. 
15-16
ETHZ, HG D7.2 400 401-
3629-
00
Th. 
15-17
ETHZ, HG D1.2
Financial Institutions
and Financial Markets
2h 3 Prof. Dr. Hans Geiger Th. 
17-19
Uni ZH,
PLM 103/104
354 401-
8917-
00
Current Challenges in Finance (Seminar) 1h   PD Dr. Walter Farkas Mo. 
18-19
Uni ZH,
PLM 103/104
   
Seminar on Hedge Funds (for specialization in Asset Management) 2h 3 Prof. Dr. Rajna Gibson
Prof. Dr. Thorsten Hens
Tu. 
16-18
Uni ZH,
PLM 103/014
330 401-
8910-
00
 
II. Optional Courses
At least one optional course with two hours of lectures per week is required for the completion of the program. Possible courses are given in the following table, further optional courses are offered in the second semester; other courses may be taken upon request.
 
Behavioral Finance 2h 3 Dr. Urs Fischbacher Mo. 
8-10
Uni ZH,
KO2
F-175
308 401-
8919-
00
Risk Theory
2h 5 Prof. Dr. Paul Embrechts
Th. 
13-15
ETHZ,
HG E1.1
  401-
4915-
00
Introd. to Fin. Mathematics
and
Introd. to Stoch. Calculus and Fin. Economics
2h 3 Prof. Dr. Kais Hamza
Prof. Dr. Dieter Sondermann
  Uni ZH    


Second Semester (2004/05)

Duration: 29 March 2005 until 2 July 2005.

Courses Class hours
per week
ECTS
credits
*
Lecturer(s) Time Location Uni ZH
cata-
logue
number
ETHZ
catalogue
number
 
I. Mandatory Courses
Derivatives and
Financial Engineering
2h+1h 6 Prof. Dr. Marc Chesney
Prof. Dr. Markus Leippold
Mo.  14-16 Uni ZH,
SOE-F-7
447 401-
8914-
00
Tu.  13-14 Uni ZH,
ZUI-AA-003
Advanced Corporate Finance II 2h 3 Prof. Dr. Michel Habib Tu. 10-12 Uni ZH,
SOE-E-7
441 401-
8916-
00
 
II. Specialized Courses
Participants need to follow at least one between two distinct orientations (A) and (B).
All courses within one specialization are mandatory.
(A) Quantitative Finance and Risk Management
Term Structure and
Credit Risk Models
3h 7 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 II
3h 7 Prof. Dr.  Paul Embrechts
Prof. Dr. Alexander McNeil
Mo. 11-12 ETHZ, HG D7.2 --- 401-
4918-
00
Th. 10-12 ETHZ, HG D7.2
(B) Asset Management
Asset Allocations and
Performance Measurement
2h 3 Dr. Nils Tuchschmid Fr. 14-18, each two weeks, Uni ZH,
KOL-F-103
444 401-
8922-
00
Theory of Banking and
Financial Intermediation
3h 4.5 PD Dr. Urs Birchler* Mo. 9-12 Uni ZH,
KOL-H-309
451 401-
8924-
00
 
III. Optional Courses
At least one optional course with two hours of lectures per week is required for the completion of the program. Possible courses are given in the following table, further optional courses were offered in the first semester; other courses may be taken upon request.
 
Computational Methods for
Quantitative Finance
2h+1h 7 Prof. Dr.
Christoph Schwab
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,
KOL-F-103
445 401-
8932-
00
Risk Policy and Economic Capital 2h 3 Prof. Dr. Paolo Vanini Th. 18-20 Uni ZH,
KOL-F-103
--- -
-
-
Applied Risk Management 2h 3 Dr. Peter Kandl Mo. 18-20 Uni ZH,
KOL-H-309
443 401-
8936-
00
Treasury in Practice 2h 3 Dr. Klaus Groner   Uni ZH,
KOL-F-103
452 401-
8944-
00
Decision Theory 2h 3 Dr. Pavlo Blavatskyy We. 14-16 Uni ZH, K02-F-150 446 401-
8946-
00
Computational Statistics 3h+2h 8 Prof. Dr. Peter Bühlmann Th. 13-15 ETHZ, HG F3   401-
4658-
00
Fr. 9-12 ETHZ,HG D7.2
Financial Markets Models 2h 3 Dr. Stefan Reimann We. 16-18 Uni ZH,
KOL-G-220
442  
Insurance Analytics
2h 4 Dr. Peter Antal Mo.  16-18 ETHZ,
HG E1.2
  401-
3928-
00
*Assignments are preliminary.




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