Search result: Catalogue data in Autumn Semester 2020
Mathematics Master  | ||||||
 Application AreaOnly 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 | ||||||
| Number | Title | Type | ECTS | Hours | Lecturers | |
|---|---|---|---|---|---|---|
| 401-8905-00L | Financial 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: https://www.uzh.ch/cmsssl/en/studies/application/mobilitaet.html | W | 6 credits | 4G | University lecturers | |
| Abstract | This lecture is intended for students who would like to learn more on equity derivatives modelling and pricing. | |||||
| Learning objective | Quantitative models for European option pricing (including stochastic volatility and jump models), volatility and variance derivatives, American and exotic options. | |||||
| Content | After 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 notes | Script. | |||||
| Prerequisites / Notice | Basic knowledge of probability theory and stochastic calculus. Asset Pricing. | |||||
| 401-8913-00L | Advanced 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: https://www.uzh.ch/cmsssl/en/studies/application/mobilitaet.html | W | 6 credits | 4G | University lecturers | |
| Abstract | This 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. | |||||
| Learning objective | This 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. | |||||
| Content | Topics 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 / Notice | This course replaces "Advanced Corporate Finance I" (MOEC0288), which will be discontinued from HS16. | |||||
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