Courses in 2008/09 (7. Cycle)


Precourse Events (2008/09)

  • Microeconomics
    8 September 2008 until 12 September 2008; optional course, but strongly recommended

  • S-PLUS Essentials for Finance
    8 September 2008 until 12 September 2008; optional course, but strongly recommended

  • Asset Management Forum 2008
    Thursday, 11 September 2008

  • Risk Day 2008
    Friday, 19 September 2008

  • Welcome reception for MAS Finance participants
    Time and Place: 16 September 2008, 18.00-20.30, ETH Dozentenfoyer

First Semester (2008/09)

Lectures: 15 September 2008 until 20 December 2008
Lectures at ETH start 17 September 2008

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-317
361 401-
8913-
00
Mathematical Foundations
of Finance
2h+1h 5 Dr. Delia Coculescu Nikeghbali 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-E-21
362 401-
8915-
00
Quantitative Methods for Risk Management 2 4 Dr. Johanna Neslehova    
Prof. Dr. Paul Embrechts    
Th. 15.15-17.00 ETH,
HG D1.2
  401-
3629-
00
Financial Markets and Institutions 2h 3 PD Dr. Urs Birchler Th. 17.15-19.00 UZH,
KOL-H-317
381 401-
8917-
00
Introduction to Mathematical Finance and
Derivatives
2h+1h 4.5 Prof. Dr. Marc Chesney
PD Dr. Walter Farkas
Tu. 10.15-13.00 UZH,
SOD-1-104
402 401-
8921-
00
Introduction to Fin. Econometrics and Mathematical Statistics 2h 3 Prof. Dr. Marc Paolella Mo. 14.00-15.45
Start: 22.09.
UZH,
PLM 103/104
445  
Financial Engineering 2h+1h 4.5 Prof. Dr. Paolo Vanini Tu. 16.15-19.00 ETH,
ML H 44
3878  
 
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.
 
Term Structures and Credit Risk Models* 3h 6 Prof. Dr. Semyon Malamud Mo. 13.15-14.00 ETH,
HG E 1.2
-- 401-
4916-
00
Th. 10.15-12.00 ETH,
HG E 1.2
Computational Methods for
Quantitative Finance I: Monte Carlo and Sampling Methods
2h+1h 6 Prof. Dr. Ch. Schwab
Prof. Dr. T. v. Petersdorff
We. 15.15-16.00 ETH,
HG F 3
  401-
4657-
00
Fr. 13.15-15.00 ETH,
HG F 3
Risk Theory 2h 4 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
449 -
-
-
Mathematical Finance 4h+2h 12 Prof. Dr. Martin Schweizer We. 13.15-15.00 ETH,
HG D 1.1
  401-
4889-
00
Th. 8.15-10.00 ETH,
HG F 3
We. 8.15-10.00 ETH,
HG D 1.2
Applied Portfolio Theory 2h 3 Dr. Felix Morger We. 12.15-13.45 UZH,
PLD-E-04
364 -
-
-
Stochastic Loss Reserving Methods 2h 4 Dr. Mario Wüthrich Mo. 16.15-18.00 ETH,
HG D 7.1
  401-
3917-
00
Applied Corporate Finance 2h 3 Prof. Dr. Alexander Wagner Mo. 08.00-09.45 UZH,
PLD-E-04 (TBC)
447 401-
8935
00
Microeconomics Block 1.5 Prof. Dr. Yvan Lengwiler 08.09-12.09.2008 UZH 413 401-
8915-
00


Second Semester (2008/09)

Duration: 16 February 2009 until 30 May 2009.
No lectures (Eastern Holiday): 9 April 2009 from 12.00 o'clock to 18 April 2009.



Courses Class hours
per week
ECTS
credits
Lecturer(s) Time Location UZH
cata-
logue
number
ETH
catalogue
number
 
I. Mandatory Courses
Advanced Corporate Finance II 2h 3 Prof. Dr. Michel Habib Tue. 10.15-12.00 UZH,
SOD-1-101
360 401-
8916-
00
Mathematical Finance and
Derivatives
3h 4.5 Prof. Dr. Marc Chesney Mon. 13.15-16.00
UZH,
PLM 103/104
401 401-
8908-
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) Risk Management
Term Structures and Credit Risk Models** 3h 6 Prof. Dr. Semyon Malamud --** --** --** 401-
4916-
00
An Introduction to Copulas 2h 4 Dr.  Johanna Neslehova Wed. 13.15-15.00 ETH,
HG E 1.1
--- 401-
4638-
08
(B) Asset Management
Theory of Banking and
Financial Intermediation
3h 4.5 Prof. Dr. Urs Birchler Mon. 09.00-12.00 UZH,
ZUI-BB-001
436 401-
8924-
00
Asset Allocations and
Performance Measurement
2h 3 Dr. Nils Tuchschmid Fri. 8.00-12.00
each 2 weeks,
Start 22.02.09.
UZH,
KOL-F-103
433 401-
8922-
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 II:
Finite Element and Finite Difference Methods
2h+1h 6 Prof. Dr. Ch. Schwab
N. Hilber
Tue. 15.15-17.00 ETH,
HG E 5
  401-
4658-
00
Thu. 15.15-16.00 ETH,
HG E 5
Financial Engineering II 2h+1h 4.5 Prof. Dr. Paolo Vanini Thu. 16.15-19.00 UZH,
KOL-G-209
376  
Topics of Applied Risk Management 2h 3 Dr. Gerold Studer Mo. 16.15-18.00 UZH,
KOL-G-220
424  
The Global Financial System and the Credit Crisis 2h 3 Dr. Daniel Heller Wed. 16.15-18.00 UZH,
PLD-E-04
436  
Stochastic Processes & Stochastic Analysis 4h+1h 10 Prof. Dr. Martin Schweizer Tue. 08.15-10.00 ETH,
HG D 5.2
  401-
3642-
00
Thu. 8.15-10.00 ETH
HG D 5.2
Insurance Analytics 2h 4 Dr. Peter Antal Mo. 10.15-12.00 ETH,
HG D 5.2
  401-
3928-
00
Economic Theory of Financial Markets 2h 4 Dr. Mario Wüthrich Mon. 16.15-18.00 ETHZ,
HG D 7.1
  401-
4920-
00
Computational Statistics 3h+2h 10 Prof. Dr. Peter Bühlmann Dr. Martin Mächler Thu. 13.15-15.00 ETH, HG E 3   401-
3632-
00
Fri. 9.00-12.00 ETH
HG E 3
Quantitative Finance 2h 3 Prof. Dr. Walter Farkas Tu. 12.15-14.00 UZH,
SOD-1-104
414 --
*Counts as mandatory course for the Specialisation Quantitative Finance and Risk Management.
**Already given in Fall Semester 2008.



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