Courses in 2007/08 (6. Cycle)



Precourse Events (2007/08)

  • Risk Day 2007 (Thursday, 19 July 2007)

  • Microeconomics
    3 September 2007 until 7 September 2007; optional course, but strongly recommended

  • Introduction to Stochastic Calculus for Finance
    3 September 2007 until 11 September 2007; optional course, but strongly recommended

  • S-PLUS Essentials for Finance
    12 September 2007 until 14 September 2007; optional course, but strongly recommended

  • Orientation meeting: the Curriculum for the MAS Finance program
    Time and Place: Wednesday, 26 September 2007, 17.00-18.00, ETH main building room HG F 26.1

  • Welcome reception for MAS Finance participants
    Time and Place: Wednesday, 26 September 2007, 18.00-20.30; ETH Dozentenfoyer (ETH main building, level J)

First Semester (2007/08)

Lectures: 3 September 2007 until 22 December 2007
Lectures at ETH start 25 September 2007

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,
KOL-H-312
348 401-
8913-
00
Mathematical Foundations
of Finance
2h+1h 4.5* Prof. Dr. Freddy Delbaen
Dr. Delia Coculescu
Fr. 09.15-12.00 ETH,
HG D3.2
  401-
3913-
00
Advanced Financial Economics 2h 3 Prof.  Dr. Thorsten Hens
Dr. Marc Rieger
Mo. 10.15-12.00 UZH,
KOL-F-104
349 401-
8915-
00
Quantitative Methods for Risk Management 2 3* Prof. Dr. Paul Embrechts     Th. 15.15-17.00 ETH,
HG D1.2
  401-
3629-
00
Financial Markets and Institutions 2h 3 Prof. Dr. Hans Geiger
PD Dr. Urs Birchler
Th. 17.15-19.00 UZH,
KOL-H-317
358 401-
8917-
00
Introduction to Mathematical Finance and
Derivatives
2h+1h 4.5 Prof. Dr. Marc Chesney
PD Dr. Walter Farkas
Fr. 14.00-15.45 (21.09-2.11)/
Tu. 10.15-12.00
UZH,
SOD-1-104
3714 401-
8921-
00
Tu. 12.15-13.00 UZH,
SOD-1-104
Introduction to Fin. Econometrics and Mathematical Statistics 2h 3 Prof. Dr. Marc Paolella Mo. 14.00-15.45 UZH,
PLM 103/104
395  
 
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.
 
Real Options 2h 3 Prof. Dr. Rajna Gibson We. 10.15-12.00 UZH,
PLM 103/104
380 401-
8935-
00
Risk Theory 2h 3* Dr. Mario Wüthrich Th. 13.15-15.00 ETH,
HG E1.1
  401-
4915-
00
Financial Risk Management 2h 3 Dr. Martin Bardenhewer We. 12.15-13.45 UZH,
KOL-G-220
403 -
-
-
Stochastic Optimal Control &
Applications in Finance
2h 3* Prof. Dr. Philipp Schönbucher We. 13.15-15.00 ETH,
HG D7.2
  401-
4913-
00
Mathematical Finance 4h+2h 9* Prof. Dr. Martin Schweizer Mo. 13.15-15.00 ETH,
HG E 1.2
  401-
4889-
00
Th. 8.15-10.00 ETH, HG D 1.1
Fr. 15.15-17.00 ETH,
HG G 3
Applied Portfolio Theory 2h 3 Dr. Felix Morger We. 12.15-13.45 UZH,
PLD-E-04
353 -
-
-
Applied Corporate Finance 2h 3 Prof. Dr. Alexander Wagner Mo. 08.00-09.45 UZH,
PLD-E-04
447 401-
8935
00
Behavioral Portfolio Theory Block 1.5 Prof. Dr. Enrico de Giorgi 10.09-12.09.2007, 1.10-3.10.2007 
UZH 390 -
-
-
Microconomics Block 1.5 Prof. Dr. Yvan Lengwiler 03.09-07.09.2007 UZH 409 401-
8915-
00
Introduction to Stochastic Calculus for Finance Block 1.5 Prof. Dr.
Dieter Sondermann
03.09-11.09.2007 UZH 407 ---


Second Semester (2007/08)

WORK IN PROGRESS! PLEASE CHECK PERIODICALLY FOR UPDATES!

Duration: 18 February until 30 May 2008.

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-1-104
354 401-
8916-
00
Mathematical Finance and
Derivatives
3h 4.5 Prof. Dr. Marc Chesney Mo. 13-16
UZH,
PLM 103/104
3763 401-
8908-
00
 
In addition participants have to follow at least one of the following three courses (those who have started in 2007 must attend Financial Engineering, those who started earlier have the flexibility):
Financial Engineering 4h 6 Prof. Dr. Paolo Vanini Mo. 16.15-18.00 UZH,
KOL-G-204
3657  
We. 16.15-18.00 UZH,
SOC-1-106
Financial Theory and Asset Pricing Block 3 Prof. Dr. Alexandre Ziegler 04.04-23.05 ETHZ,
HG G 26.3
373 ---
Computational Methods for
Quantitative Finance
2h+1h 6 Prof. Dr. Ch. Schwab Tu. 14.15-15.00 TBC ETHZ,
HG D 7.2
  401-
4658-
00
Th. 10-12 ETHZ, HG E 1.1
 
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
2h 4 Dr. Mia Hinnerich
Dr. Andrea Macrina
Tu.  13.15-15.00
ETHZ,
HG E 3
--- 401-
4916-
00
An Introduction to Copulas 2h 4 Dr.  Johanna Neslehova Tu. 15.15-17.00 ETHZ,
HG G 26.3
--- 401-
4918-
00
(B) Asset Management
Asset Allocations and
Performance Measurement
2h 3 Dr. Nils Tuchschmid [Thu. 21.02.2008: 14.00-18.00, room ZUI-AA-03]
Fr. 8.00-12.00
(each 2 w.,
Start 7.03.2008)
UZH,
ZUI-BB-001
415 401-
8922-
00
Theory of Banking and
Financial Intermediation
3h 4.5 Dr. Daniel Heller Mo. 9.00-12.00 UZH,
ZUI-BB-001
430 401-
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.
 
Corporate Investments,
Real Options and
Financial Structuring
2h 3 Dr. Pascal Botteron [Fr. 29.02.2008: 8.00-12.00; PLM 103/104]
Th. 14.00-18.00
(each 2 w.,
after 6.03.2008)
UZH,
ZUI-AA-003
417 401-
8932-
00
Stochastic Processes & Stochastic Analysis 4h+1h 10 Prof. Dr. Martin Schweizer We. 10.15-12.00 ETHZ,
HG D 5.2
  401-
3642-
00
Th. 8.15-10.00 ETHZ
HG D 5.2
Non-Life Insurance Mathematics
2h 4 Prof. Dr. Alois Gisler We. 16.15-18.00 ETHZ,
HG E5
  401-
3924-
00
Market Consistent Actuarial Valuation 2h 4 Dr. Mario Wüthrich Mo. 16.15-18.00 ETHZ,
HG D 3.2
  401-
4920-
00
Computational Statistics 3h+2h 10 Prof. Dr. Peter Bühlmann Dr. Martin Mächler Th. 13.15-15.00 ETHZ, HG F 3   401-
3632-
00
Fr. 9.00-12.00 ETHZ
HG D 7.1
Quantitative Finance 2h 3 Prof. Dr. Marc Paolella
Dr. Claudia Ravanelli
Tu. 12.15-14.00 UZH,
HAH-E-10
397 --
Current Challenges in Finance 1h --- PD Dr. Walter Farkas Th. 12.15-13.00 UZH,
ZUI-AA-02
--- ---
*





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