module manual of the M. Sc. degree programme Quantitative Finance Date: Apr-13 A. Overview of the Degree Programme ............................................................................................................2 1. Structure of Curriculum: M.Sc. Quantitative Finance ............................................................................. 2 2. Programme Schedule: M.Sc. Quantitative Finance ................................................................................. 3 B. Modules provided by the Faculty of Business, Economics and Social Sciences ...........................................4 1. Modules in the Compulsory Section Financial Economics ...................................................................... 4 Theory of Financial Economics .....................................................................................................................4 Capital Markets and Corporate Finance .......................................................................................................9 2. Modules in the Compulsory Section Econometrics for Finance ............................................................ 11 Advanced Statistics I .................................................................................................................................. 11 Econometrics I ........................................................................................................................................... 12 Empirical Methods for Finance .................................................................................................................. 13 C. Modules provided by the Faculty of Mathematics and Natural Sciences ................................................. 15 1. Modules in the Compulsory Section Mathematical Finance ................................................................. 15 Computational Finance.............................................................................................................................. 15 Mathematical Finance ............................................................................................................................... 16 3. Modules of the Specialization in Mathematical Finance ...................................................................... 17 Risk Management ...................................................................................................................................... 17 Current Issues in Mathematical Finance ................................................................................................... 18 Current Issues in Computational Finance .................................................................................................. 19 Partial Differential Equations and Mathematical Finance ......................................................................... 20 Actuarial Mathematics and Risk Theory .................................................................................................... 21 Optimization in Mathematical Finance ..................................................................................................... 22 Models with jumps in Mathematical Finance ........................................................................................... 23 Interest Rate Theory .................................................................................................................................. 24 D. Seminars .................................................................................................................................................... 25 Seminar on Computational Finance and Mathematical Finance .............................................................. 25 Seminar on Stochastics and Mathematical Finance .................................................................................. 26 Seminar on Financial Economics ............................................................................................................... 27 E. Overview of the Minor Subjects ................................................................................................................ 28 1. Economics .............................................................................................................................................. 28 2. Business ................................................................................................................................................. 28 4. Comparative Economic Sociology ......................................................................................................... 28 5. Political Sciences .................................................................................................................................... 29 6. Agricultural Economics .......................................................................................................................... 29 7. Business Information Systems ............................................................................................................... 29 8. Computer Sciences ................................................................................................................................ 29 9. Empirical Economics .............................................................................................................................. 29 F. Alphabetical Directories ............................................................................................................................ 30 1 A. Overview of the Degree Programme 1. Structure of Curriculum: M.Sc. Quantitative Finance Module Courses SWS* ECTS credits ECTS credits per per module section Econometrics for Finance 24 Econometrics I 3 lect + 2 tut 5 8 Advanced Statistics I 3 lect + 2 tut 5 8 Empirical Methods for Finance 2 x 2 lect 4 8 Financial Economics 20-26 Theory of Financial Economics 3 x 2 lect 6 12 Capital Markets and Corporate Finance 2 x 2 lect 4 8 Seminar on Financial Economics** sem 2 6 Mathematical Finance 26-32 Mathematical Finance 4 lect + 2 tut 6 10 Computational Finance 4 lect + 2 tut 6 10 Specialization in Mathematical Finance 2 lect + 1 tut 3 6 Seminar on Mathematical Finance* S 2 6 Minor subject 14 - Economics*** Varies for the different minor subjects. - Business - Comparative Economic Sociology *** Currently, Empirical Economics and - Political Sciences Economics are the only minor subjects where - Agricultural Economics English as the language of instruction can be - Business Information Systems guaranteed. - Computer Sciences - Empirical Economics*** Master´s thesis 30 *"Semesterwochenstunden" = weekly 45-minute teaching for the duration of one semester of about 12 teaching weeks. ** The seminar can be completed either in the area of Financial Economics or Mathematical Finance. 2 2. Programme Schedule: M.Sc. Quantitative Finance ECTS credits Type of Module Courses P/WP PL SWS per course Sem. year VWL-PEcon-Eco1 Econometrics I V+Ü P K 5 8 r VWL-PQuEc-AdvStat1 Advanced Statistics I V+Ü P K 5 8 semes te MNF-math-finmath1-QF Mathematical Finance V+Ü P K 6 10 1st 1 VWL-QF-FinEc Theory of Financial Economics I V(+Ü) WP K 2 4 18 30 4 VWL-QF-EmpMeth Econometrics for Financial Markets V P MP 2 4 VWL-QF-FinEc Theory of Financial Economics II1 V(+Ü) WP K 2 4 MNF-math-compfin-QF Computational Finance V+Ü P K 6 10 1 semester VWL-QF-FinEc Theory of Financial Economics III V(+Ü) WP K 2 4 BWL-QF-FIWI Capital Markets & Corporate Finance I2 V WP K 2 4 2nd Minor subject: course 1* WP 2 4 16 30 60 VWL-QF-EmpMeth Statistics for Financial Markets4 V P MP 2 4 3 Specialization in Mathematical Finance V+Ü WP K 3 6 BWL-QF-FIWI Capital Markets & Corporate Finance II2 V WP K 2 4 semester Minor subject: course 2* WP 2 4 3rd VWL-QF-Sem Seminar S WP HS 2 6 Minor subject: course 3* WP 2 6 13 30 Master´s thesis 30 4th semester 30 60 120 Explanations: P / WP: status of the module: P = Compulsory / WP = Optional PL: type of examination: K = written examination, HA = essay and presentation, MP = oral examination SWS: Semesterwochenstunden = weekly 45-minute teaching for the duration of one semester of about 12 teaching weeks. types: V = lecture, Ü = tutorial, S = seminar WEcon: Optional modules in Economics AEM: Optional module Applied Empirical Economics * imported modules from other faculties (English as language of instruction cannot be guaranteed) 1: The courses "Theory of Financial Economics I-III" can be elected from the courses of the module Theory of Financial Economics: 1. International Financial Markets, 2. Theory of Financial Markets, 3. Pricing in Derivative Markets, 4. Economics of Risk and Uncertainty, 5. Foreign Exchange Markets–Theory and Empirics, 6. Applied Econometrics of Foreign Exchange Markets, 7. Advanced Topics in Financial Economics. 2: The courses "Capital Markets and Corporate Finance I and II" can be elected from the courses of the module Capital Markets and Corporate Finance: 1. Investments and Capital Markets, 2. Theory of Corporate Finance, 3. Behavioral Finance. 3: The specialization in Mathematical Finance can be elected from the following modules of the Faculty of Mathematics and Natural Sciences: 1. Current Issues in Mathematical Finance (Aktuelle Probleme der Finanzmathematik), 2. Current Issues in Computational Finance (Aktuelle Probleme aus Numerik und Finanzmathematik), 3. Partial Differential Equations and Mathematical Finance (Partielle Differentialgleichungen und Finanzmathematik), 4. Risk Management (English language guaranteed), 5. Actuarial Mathematics