Search result: Catalogue data in Autumn Semester 2020

Mathematics Master Information
Application Area
Only necessary and eligible for the Master degree in Applied Mathematics.
One of the application areas specified must be selected for the category Application Area for the Master degree in Applied Mathematics. At least 8 credits are required in the chosen application area.
Finance
NumberTitleTypeECTSHoursLecturers
401-8905-00LFinancial Engineering (University of Zurich)
No enrolment to this course at ETH Zurich. Book the corresponding module directly at UZH.
UZH Module Code: MFOEC200

Mind the enrolment deadlines at UZH:
Link
W6 credits4GUniversity lecturers
AbstractThis lecture is intended for students who would like to learn more on equity derivatives modelling and pricing.
ObjectiveQuantitative models for European option pricing (including stochastic
volatility and jump models), volatility and variance derivatives,
American and exotic options.
ContentAfter introducing fundamental
concepts of mathematical finance including no-arbitrage, portfolio
replication and risk-neutral measure, we will present the main models
that can be used for pricing and hedging European options e.g. Black-
Scholes model, stochastic and jump-diffusion models, and highlight their
assumptions and limitations. We will cover several types of derivatives
such as European and American options, Barrier options and Variance-
Swaps. Basic knowledge in probability theory and stochastic calculus is
required. Besides attending class, we strongly encourage students to
stay informed on financial matters, especially by reading daily
financial newspapers such as the Financial Times or the Wall Street
Journal.
Lecture notesScript.
Prerequisites / NoticeBasic knowledge of probability theory and stochastic calculus.
Asset Pricing.
401-8913-00LAdvanced Corporate Finance I (University of Zurich)
No enrolment to this course at ETH Zurich. Book the corresponding module directly at UZH.
UZH Module Code: MOEC0455

Mind the enrolment deadlines at UZH:
Link
W6 credits4GUniversity lecturers
AbstractThis course develops and refines tools for evaluating investments (capital budgeting), capital structure, and corporate securities. The course seeks to deepen students' understanding of the link between corporate finance theory and practice.
ObjectiveThis course develops and refines tools for evaluating investments
(capital budgeting), capital structure, and corporate securities. With
respect to capital structure, we start with the famous Miller and
Modigliani irrelevance proposition and then move on to study the effects
of taxes, bankruptcy costs, information asymmetries between firms and
the capital markets, and agency costs. In this context, we will also
study how leverage affects some central financial ratios that are often
used in practice to assess firms and their stock. Other topics include
corporate cash holdings, the use and pricing of convertible bonds, and
risk management. The latter two topics involve option pricing. With
respect to capital budgeting, the course pays special attention to tax
effects in valuation, including in the estimation of the cost of
capital. We will also study payout policy (dividends and share
repurchases). The course seeks to deepen students' understanding of the
link between corporate finance theory and practice. Various cases will
be assigned to help reach this objective.
ContentTopics covered
1. Capital structure: Perfect markets and irrelevance
2. Risk, leverage, taxes, and the cost of capital
3. Leverage and financial ratios
4. Payout policy: Dividends and share repurchases
5. Capital structure: Taxes and bankruptcy costs
6. Capital structure: Information asymmetries, agency costs, cash holdings
7. Valuation: DCF, adjusted present value and WACC
8. Valuation using options
9. The use and pricing of convertible bonds
10. Corporate risk management
Prerequisites / NoticeThis course replaces "Advanced Corporate Finance I" (MOEC0288), which will be discontinued from HS16.
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