Financial Sciences in Zürich and the Master of Advanced Studies in Finance

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1 Financial Sciences in Zürich and the Master of Advanced Studies in Finance Prof. Dr. Uwe Schmock Financial and Actuarial Mathematics Vienna University of Technology, Austria ~ schmock Financial Sciences in Zürich (Overview) Group for Financial and Insurance Mathematics, Department of Mathematics, ETH Zürich Faculty of Economics and Business Administration, Univ. of Zürich (mainly Swiss Banking Institute) Centre of Competence of Finance in Zürich (CCFZ) (Organizational) network for joint education and research activities of ETHZ and Univ. of Zürich Finance Competence Centre RiskLab (since Oct. 1994) Project-based, precompetitive applied research of ETHZ in cooperation with the financial industry (mainly Credit Suisse, Swiss Re, UBS)

2 Financial Sciences in Zürich (cont.) National Centre of Competence in Research: Financial Valuation and Risk Management (NCCR FinRisk, since Nov. 2001) Swiss-wide university cooperation in research with Basel, Geneva, Lausanne, Lugano and Neuchâtel Joint Educational Programs ETHZ/Univ. of Zürich: Master of Advanced Studies in Finance (Oct. 2002) Ph.D. in Finance (since Oct. 2002) The traditional programs (Diplom, Lizentiat, Dr.) are still operational but currently restructured (Bologna concept: Bachelor, Master, Ph.D.). Master of Advanced Studies in Finance A new program launched jointly in 2002 by Faculty of Economics and Business Administration, University of Zürich (mainly the Swiss Banking Institute) Department of Mathematics, ETH Zürich (Swiss Federal Institute of Technology Zürich)

3 Features of the MAS Finance Program Duration: Two semesters of courses Masters thesis (4 months) Topics: Financial economics Quantitative methods for finance Language: English Start of program: Every year in October Class size: 20 to 25 students Admission: Competitive Application: by March 31, 2004 Tuition fee: CHF (future change possible) Application fee: None Mandatory MAS Finance Courses Mathematical Finance: Discrete and Continuous Time Models Mathematical Foundations of Finance Financial Economics Corporate Finance Empirical Methods for Finance Financial Institutions and Financial Markets Financial Theory and Asset Pricing Derivatives and Financial Engineering Insurance Analytics

4 MAS Finance: Possible Specializations (A) Quantitative Finance and Risk Management Risk Management Term Structure and Credit Risk Models Quantitative Methods for Risk Management (B) Asset Management Asset Allocation and Performance Measurement Theory of Banking and Financial Intermediation Behavioral Finance or Empirical Methods MAS Finance: Offered Optional Courses Computational Methods for Quantitative Finance Corporate Investments, Real Options and Financial Structuring Incomplete Markets Computational Statistics Stochastic Processes for Mathematical Finance Economics of Insurance Methods of Stochastic Optimization Applications of Stochastic Optimization in Finance Introduction to Stochastic Control

5 MAS Finance: Staff Program Director: Scientific Advisers: Prof. Dr. Uwe Schmock (until Sep.) PD Dr. Walter Farkas (from Oct.) Prof. Dr. Rajna Gibson (ISB, Univ. of Zürich) Prof. Dr. Freddy Delbaen (D-MATH, ETH Zürich) Managing Assistant: Ms. Aline Strolz Mailing List To add (or remove) your address to the list on Financial and Insurance Mathematics in Zürich, contact Ms. Aline Strolz MAS Finance: First Year Students 19 students (4 female, 15 male) out of 106 applications 56 students (conditionally) admitted 13 without entrance exam (9 accepted) 14 with exam in economics (5 accepted and passed) 15 with exam in mathematics (3 accepted and passed) 14 with both exams (2 accepted and passed) 4 study part-time, 17 have practical work experience Nationalities: Swiss (7), Italian (2), Romanian (2), Chinese, French, French/Swiss, Mexican, Russian, Senegalese, Slovenian, Swedish Second year: 166 applications so far

6 Useful Links MAS Finance program: Statistics about participants: 2002/statistics.html Ph.D. Finance program: RiskLab: NCCR Project FinRisk: Swiss Banking Institute: Financial and Insurance Mathematics, ETH Zürich: Talks in Financial and Insurance Mathematics: finance/talks.html