Courses in 2005/06 (4. Cycle)



Precourse Events (2005/06)

  • Course Microeconomics (3 October 2005 until 14 October 2005; mandatory for all accepted participants)

  • Introduction to Stochastic Calculus for Finance (11 October 2005 until 21 October 2005; optional course)

  • S-PLUS Essentials for Finance (18 October 2005 until 20 October 2005, optional, but strongly recommended)

  • Risk Day 2005 (Friday, 21 October 2005)

  • Orientation meeting: the Curriculum for the MAS Finance program (Wednesday, 26 October 2005, 17.00-18.00, Place: PLM 103/104)

  • Welcome reception for MAS Finance participants (Wednesday, 26 October 2005, 18.00-20.30, Dozentenfoyer ETH Zürich)

First Semester (2005/06)

Duration: 24 October 2005 until 11 February 2006
Christmas Break: 24 December 2005 until 7 January 2006
Lectures at ETH start 25 October 2005

Courses Class hours
per week
ECTS
credits
*
Lecturer(s) Time Location Uni ZH
cata-
logue
number
ETHZ
catalogue
number
 
I. Mandatory Courses
Microconomics 2h 3 Dr. Anke Gerber 3.-14. Oct. 
Uni ZH   401-
8915-
00
Advanced Corporate Finance I 2h 3 Prof. Dr. Michel Habib Tu.  12-14
Uni ZH,
SOE-F-02
403 401-
8913-
00
Mathematical Foundations
of Finance
2h+1h 5 Prof. Dr. Freddy Delbaen
Dr. Sebastian Maass
Fr.  9-12 ETHZ,
HG D3.2
  401-
3913-
00
Financial Economics 2h 3 Prof.  Dr. Thorsten Hens We.  10-12 Uni ZH,
RAI-J-031
405 401-
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
  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
400 401-
8917-
00
Introduction to Mathematical Finance and
Derivatives
2h 3 Prof. Dr. Marc Chesney
PD Dr. Walter Farkas
Tu. 10-12 Uni ZH,
SOE-F-02
399  
Introduction to Fin. Econometrics and Mathematical Statistics 2h 3 Prof. Dr. Marc Paolella Mo.  14-16 Uni ZH,
PLM 103/104
404  
 
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.
 
Risk Theory 2h 5 Prof. Dr. Paul Embrechts
Th.  13-15 ETHZ,
HG E1.1
  401-
4915-
00
Topics in Incomplete Markets (Seminar) 2h 6 Prof. Dr. Martin Schweizer Fr.  14-16 ETHZ,
HG E33.5
  401-
3600-
00
Markov Decision Processes and Valuation of Real Options 2h+1h 6 Prof. Dr. Hans-Jakob Lüthi
Dr. Juri Hinz
Tu.  13-15 ETHZ,
HG D5.2
  401-
3909-
00
Mo.  15-17
(each 2 w.)
ETHZ,
HG D7.2
Real Options 2h 3 Prof. Dr. Rajna Gibson We.  10-12 Uni ZH,
PLM 103/104
407  
Dynamics on Financial Markets 2h 3 Dr. Stefan Reimann We.  16-18 Uni ZH,
RAI-J-031
479  
Behavioral Finance 2h 3 Dr. Urs Fischbacher Mo.  8-10 Uni ZH,
KOL-E-31
406 401-
8919-
00
Stochastic Optimal Control
and Applications in Finance
2h 6 Prof. Dr. Philipp Schönbucher We.  13-15 ETHZ,
HG D7.2
  401-
4913-
00
Introduction to Stochastic Calculus for Finance block 3 Prof. Dr.
Dieter Sondermann
11.10-21.10 Uni ZH, 411 ---


Second Semester (2005/06)

Duration: 3 April 2006 until 8 July 2006.

Courses Class hours
per week
ECTS
credits
*
Lecturer(s) Time Location Uni ZH
cata-
logue
number
ETHZ
catalogue
number
 
I. Mandatory Courses
Financial Theory
and Asset Pricing
2h 3 Prof. Dr. Rajna Gibson We. 10-12 Uni ZH,
PLM 103/104
358 401-
8912-
00
Advanced Corporate Finance II 2h 3 Prof. Dr. Michel Habib Tu. 10-12 Uni ZH,
SOC-1-101
353 401-
8916-
00
Mathematical Finance and
Derivatives
2h 3 Prof. Dr. Marc Chesney Mo. 14-16
Uni ZH,
PLD-E-04
346 401-
8908-
00
Financial Engineering 4h 6 Prof. Dr. Markus Leippold Tu. 12-14 Uni ZH, KOL-E-21 345 401-
8906-
00
We. 12-14 Uni ZH, SOC-1-106
 
II. Elective/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 D 1.1 --- 401-
4916-
00
Quantitative Methods for
Risk Management II
3h 7 Prof. Dr.  Paul Embrechts
Prof. Dr. Alexander McNeil
Mo. 11-12 ETHZ, HG D 7.2 --- 401-
4918-
00
Th. 10-12 ETHZ, HG D 7.2
(B) Asset Management
Asset Allocations and
Performance Measurement
2h 3 Dr. Nils Tuchschmid Fr. 8-12 (each 2 w., start 7. Apr. 2006) Uni ZH, PLD-E-04 349 401-
8922-
00
Theory of Banking and
Financial Intermediation
3h 4.5 PD Dr. Urs Birchler* Mo. 9-12 Uni ZH,
KOL-H-309
347 401-
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. Ch. Schwab
Dr. Ekaterina Voltchkova
Tu. 14-15 ETHZ, HG D 7.2   401-
4658-
00
We. 8-10 ETHZ, HG, D 3.2
Economic Capital and Structured Finance 2h 3 Prof. Dr. Paolo Vanini Mo. 16-18 Uni ZH, KO2-F-172 344  
Topics in Incomplete Markets 2h 4 Prof. Dr. Martin Schweizer Fr.  14-16 ETHZ,
HG D 1.1
  401-
4060-
00
Corporate Investments,
Real Options and
Financial Structuring
2h 3 Dr. Pascal Botteron Th. 14-18 (each 2 w., Start 6. April 2006) Uni ZH, PLD-E-04 348 401-
8932-
00
Applied Risk Management 2h 3 Dr. Peter Kandl Mo. 18-20 Uni ZH,
KOL-H-309
350 401-
8936-
00
EconoPhysics 2h 3 Dr. Stefan Reimann Tu. 16-18 Uni ZH, PLD-E-04 414 ---
Computational Statistics 3h+2h 10 Prof. Dr. Peter Bühlmann Dr. Martin Mächler Th. 13-15 ETHZ, HG F 3   401-
3632-
00
Fr. 9-12 ETHZ, HG D 7.1
Evolutionary Finance block 3 Prof. Dr.
Klaus Schenk-Hoppe
26.4-5.5 Uni ZH, 446 ---
Behavioral Finance Portfolio Theory block 3 Dr. Enrico De Giorgi 19.6-23.6 Uni ZH, HIM, Pavillon A 429 ---
Current Challanges in Finance 1h --- PD Dr. Walter Farkas We. 17-18 Uni ZH, PLD-E-04 --- ---
*Assignments are preliminary.




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