Courses in 2006/07 (5. Cycle)



Precourse Events (2006/07)

  • Microeconomics
    2 October 2006 until 6 October 2006; optional course, but strongly recommended

  • Introduction to Stochastic Calculus for Finance
    9 October 2006 until 17 October 2006; optional course, but strongly recommended

  • S-PLUS Essentials for Finance
    17 October 2006 until 19 October 2006; optional course, but strongly recommended

  • Risk Day 2006 (Friday, 20 October 2006)

  • Orientation meeting: the Curriculum for the MAS Finance program
    Time and Place: Wednesday, 25 October 2006, 17.00-18.00, Plattenstrasse 14, 1st floor, PLM 103/104

  • Welcome reception for MAS Finance participants
    Time and Place: Wednesday, 25 October 2006, 18.00-20.30; ETH Dozentenfoyer (ETH main building, level J)

First Semester (2006/07)

Duration: 23 October 2006 until 9 February 2007
Christmas Break: 23 December 2006 until 7 January 2007
Lectures at ETH start 24 October 2006

Courses Class hours
per week
ECTS
credits
*
Lecturer(s) Time Location UZH
cata-
logue
number
ETH
catalogue
number
 
I. Mandatory Courses
Advanced Corporate Finance I 2h 3 Prof. Dr. Michel Habib Tu. 14.00-15.45
UZH,
SOD-1-101
321 401-
8913-
00
Mathematical Foundations
of Finance
2h+1h 4.5* Prof. Dr. Freddy Delbaen
Dr. Sebastian Maass
Fr. 09.15-12.00 ETH,
HG D3.2
  401-
3913-
00
Financial Economics 2h 3 Prof.  Dr. Thorsten Hens Mo. 10.15-12.00 UZH,
KOL-G-209
337 & 350 401-
8915-
00
Quantitative Methods for Risk Management I 2 3* Dr. Johanna Neslehova     Th. 15.15-17.00 ETH,
HG D1.2
  401-
3629-
00
Financial Institutions
and Financial Markets
2h 3 Prof. Dr. Hans Geiger Th. 17.15-19.00 UZH,
KOL-E-118
338 401-
8917-
00
Introduction to Mathematical Finance and
Derivatives
2h+1h 4.5 Prof. Dr. Marc Chesney
PD Dr. Walter Farkas
Tu. 10.15-12.00 UZH,
SOD-1-104
352 --
--
--
Tu. 12.15-13.00 UZH,
SOD-1-104
Introduction to Fin. Econometrics and Mathematical Statistics 2h 3 Prof. Dr. Marc Paolella Mo. 14.00-16.00 UZH,
PLM 103/104
332  
 
II. Optional Courses
At least two optional courses with two hours of lectures per week are 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 3* Prof. Dr. Paul Embrechts
Th. 13.00-15.00 ETHZ,
HG E1.1
  401-
4915-
00
Coherent Risk Measures 2h 3* Prof. Dr. Freddy Delbaen Fr. 15.00-17.00
Start November 3, 2006!
ETH,
HG G 26.1
  401-
4881-
00
Real Options 2h 3 Prof. Dr. Rajna Gibson We. 10.15-12.00 UZH,
PLM 103/104
365  
Behavioral Finance 2h 3 Dr. Urs Fischbacher Mo. 08.00-09.45 UZH,
KOL-E-21
326 401-
8919-
00
Applied Corporate Finance 2h 3 Prof. Dr. Alexander Wagner Mo. 08.00-09.45 UZH,
PLD-E-04
396 401-
--
--
Stochastic Optimal Control &
Applications in Finance
2h 3* Prof. Dr. Philipp Schönbucher We. 13.00-15.00 ETHZ,
HG D7.2
  401-
4913-
00
Stochastic Reserving Loss Methods 2h 3* Dr. Mario Wüthrich Mo. 16.00-18.00 ETHZ,
HG D7.1
  401-
3917-
00
Seminar on Hedge Funds 2h 3 Prof. Dr. Rajna Gibson
Prof. Dr. Thorsten Hens
Mo. 16.00-17.30 Uni ZH,
PLM 103/104
3327 401-
8910-
00
Markov Chains (Seminar) 2h 3* Prof. Dr. Martin Schweizer Tu. 15.00-17.00 ETHZ,
HG G26.5
  401-
4541-
00
Microconomics Block 1.5 Prof. Dr. Yvan Lengwiler 02.10-6.10.2006  UZH   401-
8915-
00
Introduction to Stochastic Calculus for Finance Block 1.5 Prof. Dr.
Dieter Sondermann
09.10-17.10.2006 UZH 3398 ---


Second Semester (2006/07)

Duration: 19 March 2007 until 23 June 2007.

Courses Class hours
per week
ECTS
credits
*
Lecturer(s) Time Location Uni ZH
cata-
logue
number
ETHZ
catalogue
number
 
I. Mandatory Courses
Advanced Corporate Finance II 2h 3 Prof. Dr. Michel Habib Tu. 10-12 UZH,
SOD-1-101
354 401-
8916-
00
Mathematical Finance and
Derivatives
2h 3 Prof. Dr. Marc Chesney Mo. 14-16
UZH,
PLD-E-04
396 401-
8908-
00
Financial Theory
and Asset Pricing
2h 3 Prof. Dr. Rajna Gibson We. 10-12 UZH,
PLM 103/104
381 401-
8912-
00
 
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 4.5* 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
2h 3* Prof. Dr.  Paul Embrechts Th. 10-12 ETHZ,
HG D 7.2
--- 401-
4918-
00
(B) Asset Management
Asset Allocations and
Performance Measurement
2h 3 Dr. Nils Tuchschmid Fr. 8-12
(each 2 w.,
Start 30.Mar.2007)
UZH,
ZUI-BB-001
359 401-
8922-
00
Theory of Banking and
Financial Intermediation
3h 4.5 PD Dr. Urs Birchler* Mo. 9-12 UZH,
KO2-D-54
423 401-
8924-
00
 
III. Optional Courses
At least two optional courses with two hours of lectures per week are 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 4.5* Prof. Dr. Ch. Schwab Tu. 14-15 ETHZ,
HG D 7.2
  401-
4658-
00
We. 8-10 ETHZ, HG D 1.1
Finance in Banks 2h 3 Prof. Dr. Paolo Vanini Mo. 16-18 UZH,
KO2-F-172
3727  
Corporate Investments,
Real Options and
Financial Structuring
2h 3 Dr. Pascal Botteron Th. 14-18
(each 2 w.,
Start 29. March 2007)
UZH,
ZUI-AA-003
365 401-
8932-
00
Applied Risk Management 2h 3 Dr. Peter Kandl Mo. 16-19 UZH,
SOE-F-2
357 401-
8936-
00
Stochastic Processes & Stochastic Analysis 3h+1h 6* Prof. Dr. Martin Schweizer We. 10-12 ETHZ,
HG D 5.2
  3642-
00
Th. 8-10 ETHZ
HG D 5.2
Insurance Analytics
2h 3* Dr. Peter Antal Mo. 16-18 ETHZ,
HG E1.2
  401-
3928-
00
Economic Theory of Financial Markets 2h 3* Dr. Mario Wüthrich Tu. 14-16 ETHZ,
HG E 1.2
  401-
3956-
00
Computational Statistics 3h+2h 7.5* 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 1.5 Prof. Dr.
Klaus Schenk-Hoppe
25.4-4.5 Uni ZH --- ---
Current Challanges in Finance 1h --- PD Dr. Walter Farkas We. 17-18 UZH,
PLM-103/104
--- ---
*Assignments of ECTS for participants in the Master of Advanced Studies in Finance program are based on the UZH rule.The ETH might assign to the own students different credit points for some lectures.




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