Overview Courses

Core Courses

  • Quantitative Methods covers various methods required for doing research in finance (essentially stochastic calculus and optimization methods).
  • Financial Econometrics covers important topics in empirical corporate finance and applied cross-sectional econometrics (e.g. endogeneity, measurement errors, simulation estimators, estimation of dynamic models).
  • Corporate Finance deals with the financing of the corporation and in particular with the determinants of corporate capital structure choice. The purpose of this course is to acquaint students with the relevant theories in this field. A main objective is to provide them with the knowledge to assess the latest research, and to be able to formalize corporate finance problems of their own. A special focus will be a contract theoretic approach to corporate finance.
  • Asset Pricing covers the essentials in asset pricing like market efficiency, state prices and arbitrage, CAPM and APT: theory and evidence as well as multi-period, consumption-based models.
  • Continuous Time Finance presents the fundamentals of arbitrage theory for pricing contingent claims in continuous time (e.g. incomplete market, the martingale approach to arbitrage pricing, interest rate theory).
  • Finance Paper Reading deals with key papers in financial economics, required for understanding more recent papers, and to facilitate the process of reviewing the literature for their own research.
  • PhD Research Seminar is intended as a platform for students to present their own research (proposals), and to receive feedback from faculty and colleagues. Students have to present their papers twice year and discuss two papers of their fellow students. The course is guided by VGSF faculty members.
  • Paper Writing focuses on replicating and extending a paper (or selected aspects covered therein) published in major finance or economics journals. After preparing a proposal, students have to seek an advisor from the VGSF faculty. The final version of the paper is presented in an annual local conference, and should be suitable for submission to a conference or journal.
  • Finance Research Seminar informs students about the current research in finance. Renowned scholars from leading universities present and discuss their (working) papers. Students meet with the guest speaker to discuss the paper and ask questions about it. A list of talks in the current semester can be found here.

Students take at least six elective courses. Recent elective courses have been taught by amongst others:

  • Advanced Asset Pricing - Jacob Sagi from Vanderbilt University
  • Advanced Corporate Finance -Christopher Hennessy from LSE
  • Credit Risk Management -David Lando from the Copenhagen Business School
  • Empirical Corporate Finance - Rüdiger Fahlenbrach from EPFL
  • Financial Econometrics - Toni Whited from Michigan Ross
  • Financial Econometrics and Empirical Portfolio Choice -Rossen Valkanov from the University of California San Diego
  • Interaction of Finance and Industrial Organization - Gordon Phillips from the University of Maryland
  • Liquidity and Asset Pricing - Nicolae Garleanu from the Haas School of Business, Berkeley

Courses 2017/2018

Core Courses

Asset Pricing Doron AvramovThe Hebrew University of Jerusalem
Continuous Time FinancTomas BjörkStockholm School of Economics
Corporate Finance                                         Christian LauxWU
Finance Paper ReadingJosef Zechner, Maria ChaderinaWU
Finance Research SeminarInternational GuestsVarious
Finance Research Seminar ReadingChristian LauxWU
Financial EconometricsToni Whited University of Michigan
Paper WritingVGSF FacultyUniversity of Vienna, IHS, WU
PhD Research SeminarThomas Gehrig, Leopold Sögner, Maria Chaderina                            University of Vienna, IHS, WU
Quantitative Methods Rüdiger FreyWU


Elective Courses

Advanced Time Series and
Financial Econometrics
Nikolaus HautschUniversity of Vienna
Advanced Topics in FinanceAlexander Mürmann, Christian Laux, Gyöngyi Loranth    WU, University of Vienna
Capital Market TheoryThomas GehrigUniversity of Vienna
Contract TheoryChristian Laux WU
Credit Risk ManagementDavid LandoCBS
Disciplining or Protecting Banks - Theory and Evidence Charles CalomirisColumbia
Empirical Asset PricingRossen ValkanovUC San Diego
Empirical Corporate FinanceRüdiger FahlenbrachEPFL
Financial Crises and
Financial Architecture
Thomas GehrigUniversity of Vienna
Financial IntermediationGyöngyi LoranthUniversity of Vienna
Game TheoryLarry BlumeCornell
Market MicrostructureThomas GehrigUniversity of Vienna