Master Quantitative Finance in Uni Kiel

G ENERAL I NFORMATION1.R EQUIREMENTSRequirement is a bachelor degree in economics or a comparable university degree.The admission for the Master program is not restricted.Knowledge of English is expected to be good. This should be evidenced by •Toefl Test 550•Bachelor degree in English•Minimum 4 years English at school, degree at least with the grade satisfactory2.S TUDENT G UIDANCEMatthias RaddantOffice hours: by arrangementTelephone number: +49431/880-3386raddant@economics.uni-kiel.deOffice: Institute for Economics, Wilhelm-Seelig-Platz 7, room: 5113.S TRUCTURE OF S TUDIESThe Master program is a cooperation between the Faculty of Business, Economics and Social Sciences and the Faculty of Mathematics and Natural Sciences. The program is divided into four semesters. During this time the students have three area ofspecialization, Financial Economics, Econometrics for Finance, and MathematicalFinance. Additionally, the students have to choose one elective course. 1For theelective course the students have to choose two lectures and one advanced course.4.S TUDYING I N K IELGeneral Information about studying and living in Kiel can be found at the website for Incoming students:http://www.bwl.uni-kiel.de/econ/Sokrates/Incoming/incoming.php1 In the appendix is a list with all possible elective courses.S TUDY P LAN1.S EMESTER•Econometrics I1. This course builds upon the basic econometric techniques. Throughout,regressors are considered stochastic.Students will learn to deal with dynamic models and nonstationary time series.The focus is on single equation models. The course will require students to befamiliar with standard econometric software as Eviews and Matlab.2. After this module, the students will have a solid econometric foundationnecessary for participating in advanced courses. Moreover, they will be able toperform advanced univariate time series studies and understand the modernmacroeconometric literature.•Advanced Statistics IFor the students to become familiar with, to understand and to apply theconcepts of mathematical statistics underlying the procedures of statisticalinference on which the statistical and econometric analysis of economic dataare based.1. Elements of Probability Theory2. Random Variables, Densities and Distribution Functions3. Moments of Random Variables4. Parametric Families of Distributions5. Basic Asymptotics6. Sample Moments and Sampling Distributions•Mathematical FinanceThe student gains basic knowledge of mathematical finance.1. credit risk2. market risk3. operational risk4. rating methods5. credit portfolio models6. credit derivates and their valuation7. risk measures8. applications of extreme value theory•Theory of Financial Markets I22.S EMESTER•Econometrics for Financial MarketsThis course offers the possibility for the students to become familiar withspecial econometric techniques required to work with financial market data.Students will get familiar with stylized facts of financial market data and shalllearn how to take the latter into account within the framework of (multivariate)dynamic modelling. Each theoretical progress will be followed by anintroduction to the software package Matlab and EViews for practicalexercises with some data. From the applied part, students will get the ability tosolve typical issues arising in portfolio management and asset pricing (CAPM,option pricing, Value-at-risk). The variety of parametric and nonparametricmodelling approaches will enable students to critically assess relative modelperformance which is crucial in financial practice.•Theory of Financial Markets II•Computational FinanceThe students gains basic knowledge of computational finance.1. Derivative pricing2. Numerical integration3. Tree based methods4. Finite difference method5. Finite element method6. Monte-Carlo method7. Integral transform method•Theory of Financial Markets III•Theory of Corporate FinanceThe students learn to understand the impact of capital structure decisions onthe value of a firm, especially those resulting from a discriminating tax systemwith corporate and personal tax. Students should gain the proficiency indealing with the Discounted-Cash-Flow-Methods (DCF) of firm valuationunder the German tax regime.•One lecture of the elective course32 The courses for Theory of Financial Markets I-III can be chosen from four possible courses. There is a list of these four courses with a short description in the appendix.3.S EMESTER•Statistic for Financial MarketsFor the students to become familiar with statistical methods used to analyzefinancial data. These methods include test procedures used for an empiricalinvestigation of the efficiency of financial markets, statistical models for thevolatility of asset returns and for high-frequency data, and statistical conceptsused to measure the market risk in risk management. Students will practice theuse of these statistical methods using the software packages Eviews andMatlab.•Investment and Capital MarketsThis lecture considers the core models of investment theory, marketequilibrium, and contingent claims pricing. This is the prerequisite for furtherresearch and professional career in the investment area.•Advanced Financial Markets4•Seminar on Financial Economics or Mathematical Finance5•One lecture of the elective course•Advanced course of the elective course4.S EMESTER•Master thesis3 In the appendix is a list with all possible elective courses.4 A list with possible courses is in the appendix.5 A list with possible seminars is in the appendix.A PPENDIX1. Theory of Financial Markets•International Financial MarketsThe lecture covers modern theories that view foreign exchange markets andexchange rate determination from a finance perspective. Relevant topicsinclude the importance of investors’ expectations and speculative behavior inthe foreign exchange market and its explanatory power for the observation ofexcessive volatility of foreign exchange rates compared to macroeconomicfundamentals. We also discuss the effects of political interventions to curbspeculative activity and the determinants of major historical currency crises.•Theory of Financial MarketsAfter an introduction to the empirical stylized facts of financial markets, thelecture discusses the theoretical foundations and the empirical validity of theseminal ‘efficient market hypothesis’. We continue with models of priceformation in accordance with rational information revelation throughtransactions and also review approaches in the recent ‘behavioral finance’literature that emphasize the role of speculative activity andboundedly rational behavior of investors.•Pricing in Derivative MarketsThe course provides an introduction to the pricing of financial derivatives andis logically split into two parts. The first part deals with the mechanics ofderivative markets and instruments. The second part focuses on themathematical concepts that are used to price these derivatives, oftensummarized under the catch-all phrase of financial engineering.•Economics of Risk and UncertaintyStudents should become familiar with modern concepts and theories ofdecision making under risk as well as possible applications in finance andinsurance economics. They should be enabled to analyze decision problemsunder risk independently.2. Advanced Financial Markets•Risk Management•Current Issues in Mathematical Finance•Current Issues in Computational Finance•Partial Differential Equations and Mathematical Finance•Actuarial mathematics and risk theory•Optimization in Mathematical Finance•Models with jumps in Mathematical Finance•Interest Rate Theory3. Seminar on Financial Markets or in Mathematical Finance•Seminar on Computational Finance and Mathematical Finance•Seminar on Stochastic and Mathematical Finance•Seminar on Financial EconomicsStudents are required to research recent developments in connection with giventopics of an economic nature, produce a term/seminar paper doneindependently, and present the content of that paper in class. In so doing theywill acquaint themselves with the essentials of academic work and presentationtechnique. This will also lay the foundations for the completion of the MAthesis at a later date.E LECTIVE C OURSES1. Economics•Applied Microeconomics•Macroeconomics and Growth•International Economics•Spatial Economics•Public Economics•Environmental Economics2. Business Administration•Controlling•Supply Chain Management•Corporate Finance•Accounting and Auditing•Innovation, new media and marketing•Entrepreneurship and Innovation management•Organization•Distributive trade3. Comparative Sociology•Global social inequality•Sociological theory•Political sociology•Information society and communication•Empirical social research•Diversity and Gender4. Political Science•Governance in state constituted systems•Governance in international systems5. Agricultural Economics•Modeling of European agricultural markets•International trade and EU agricultural policy•Nutrition policy6. Business informatics•Business informatics II for economists•Operational standard software•Modeling of information systems for economists7. Empirical Economics•Applied Empirical Methods 2•Applied Empirical Methods 3。