Courses > Courses in 2002/03 (1. Cycle)


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Precourse Events (2002/03)


First Semester (2002/03)

Duration: October 21st, 2002, until February 8th, 2003
Christmas Break: December 21st, 2002, until January 5th, 2003

Core courses Class
hours
per
week		 ECTS
credits		 Lecturer(s) Time Location
Mathematical Finance: Discrete
and Continuous Time Models		 2 h 5 Prof. Dr. Freddy Delbaen
Prof. Dr. Thorsten Rheinländer
PD Dr. Uwe Schmock
Prof. Dr. Philipp Schönbucher		 Mo. 
15-17		 ETHZ,
HG D3.2
Mathematical Foundations
of Finance		 2 h + 1 h 5 Prof. Dr. Freddy Delbaen
Prof. Dr. Thorsten Rheinländer
PD Dr. Uwe Schmock
Prof. Dr. Philipp Schönbucher		 Tu. 
15-17
Tu. 
17-18		 ETHZ,
HG E1.2
Corporate Finance 2 h 3 Prof. Dr. Michel Habib Tu. 
13-15		 Uni ZH, 
KOL H 320
Financial Economics 2 h 3 Prof. Dr. Thorsten Hens Fr. 
10-12		 Uni ZH, 
KOL F 123
Empirical Methods for Finance 3 h 6 Prof. Dr. Alexander McNeil    We. 
15-16
Th. 
15-17		 ETHZ,
HG E1.1
ETHZ,
HG D1.2
Financial Institutions
and Financial Markets		 2 h 3 Prof. Dr. Hans Geiger
PD Dr. Urs Birchler		 Th. 
17-19		 Uni ZH,
KOL J 401
Risk Management
(for specialization in Quantitative
Finance and Risk Management)		 2 h 4 Prof. Dr. Paul Embrechts Th. 
13-15		 ETHZ,
HG E1.1


Second Semester (2002/03)

Duration: March 31st until July 5th, 2003

I. Mandatory courses Class hours
per
week		 ECTS
credits*		 Lecturer(s) Time Location Uni ZH
catalogue
number		 ETHZ
catalogue
number
Financial Theory
and Asset Pricing		 2 h 3 Prof. Dr. Rajna Gibson We. 
10-12		 Uni ZH,
SOE-E-7		 377 90-738
Derivatives and
Financial Engineering		 3 h 6 Prof. Dr. Markus Leippold
Prof. Dr. Marc Chesney 		Mo. 
13-15
Tu. 
13-14		 Uni ZH,
PLM-1-103/4		 2922 90-740
Insurance Analytics 2 h 4 Dr. Peter Antal Mo. 
16-18		 ETHZ, HG E1.2   90-714
 
II. Specializations: Participants can choose between two distinct orientations (A) and (B):
 
(A) Quantitative Finance and Risk Management
Term Structure and
Credit Risk Models		 3 h 6 Prof. Dr. Freddy Delbaen
Prof. Dr. Uwe Schmock
Prof. Dr. Ph. Schönbucher		 Tu. 
15-17
We. 
16-17		 ETHZ, HG D1.1 2923 90-722
Quantitative Methods
for Risk Management		 3 h 6 Prof. Dr. 
Alexander McNeil		 We. 
15-16		 ETHZ, HG F3   90-724
Th. 
10-12		 ETHZ, HG D7.2
Risk Management - - (as an exception already given
in the WS 2002/03)		 - - - -
(B) Asset Management
Asset Allocations and
Performance Measurement		 3 h 4.5 Dr. Nils Tuchschmid Fr. 
13-16		 Uni ZH,
KOL-F-103		 2946 90-830
Theory of Banking and
Financial Intermediation		 3 h 4.5 PD Dr. Urs Birchler* Mo. 
9-12		 Uni ZH,
KOL-H-309		 2947 90-836
Empirical Methods
(Time Series Models)		 2 h + 1 h 3 Prof. Dr. Markus Leippold We. 
16-18
We. 
18-19		 Uni ZH,
PLM-1-103/4		 266
267		 90-840
 
III. Optional Courses: One optional course with at least two hours of lectures per week is required.
Possible courses are given in the following table, other courses may be taken upon request.
 
Computational Methods
for Quantitative Finance		 2 h + 1 h 5 Prof. Dr. 
Christoph Schwab		 Mo. 
15-16		 ETHZ, HG D1.2   90-824
Fr. 
8-10		 ETHZ, HG D1.1
Corporate Investments,
Real Options and
Financial Structuring		 2 h 3 Dr. Pascal Botteron Tu. 
17-19		 Uni ZH,
SOE-E-2		 2948 90-832
Incomplete Markets 2 h 4 Prof. Dr. Th. Rheinländer Tu. 
10-12		 ETHZ, HG E1.2   90-842
Computational Statistics 3 h + 1 h 6 Prof. Dr. Peter Bühlmann Th.
13-15
Fr.
10-12		 ETHZ,
HG F3		   90-656
Stochastic Processes
for Mathematical Finance		 2 h + 1 h 6 Prof. Dr. 
Erwin Bolthausen		 We. 
8-10		 ETHZ, HG E33.1 2336 90-734
Do. 
9-10		 ETH,
HG D5.1
Economics of Insurance 2 3 Prof. Dr. Peter Zweifel Tu. 
8-10		 Uni ZH,
KOL-F-103		 286 90-736
Methods of
Stochastic Optimization		 2 3 Prof. Dr. Peter Kall Tu. 
14-16		 Uni ZH,
KO2-F-172		 338 90-552
Applications of Stochastic
Optimization in Finance		 2 3 PD Dr. János Mayer Th. 
14-16		 Uni ZH,
KOL-F-103		 337 90-748
*Assignments are preliminary.






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