VGSF Course Overview



Studying at the VGSF consists of two parts: courses and research. A typical sequence of activities starts with doing most of the mandatory courses during the first year. First year students also do (extra-curricular) bridging courses as required. By the end of the second year all mandatory courses must be completed. 

Students have to do six (mandatory) elective courses. Usually these are done during the second and third year. Students choose the electives depending on the focus of their research. 

The PhD thesis must consist of three papers (one of which is the job market paper). Students should start working (i.e. searching for a topic, writing and presenting proposals) on their papers during the (second half of the) first year. Before and during the summer of the first year they work on their first paper. This paper is presented at the beginning of their second year at an internal conference where all faculty members and all students participate, discuss papers and give feedback.

Courses

The curriculum consists of three years of course work. During the first two years the following mandatory courses must be passed:

  • Quantitative Methods: This course covers various methods required for doing research in finance (essentially stochastic calculus and optimization methods). In the past this course has been taught by Eberhard Mayerhofer (VIF).
  • Financial Econometrics: This course covers important  topics in empirical corporate finance and applied cross-sectional econometrics (e.g. endogeneity, measurement errors, simulation estimators, estimation of dynamic models). The course has been taught in the past by Toni Whited (University of Rochester).
  • Corporate Finance: This course deals mainly with the determinants of corporate capital structure choice. Students are acquainted with the relevant theories in this field and with the existing studies that empirically test these theories. A special focus is given on dynamic trade-off theory models in continuous time. The course has been taught in the past by Thomas Dangl (TU Vienna), Christopher Hennessy (London Business School) and Josef Zechner (WU/VGSF).
  • Asset Pricing: In this course students acquire a essentials in asset pricing (e.g. market efficiency, state prices and arbitrage, CAPM and APT: theory and evidence), multi-period, consumption-based models). The course has been taught in the past by Francisco Gomes (London Business School), Jacob Sagi (Vanderbilt), and Jiang Wang (MIT).
  • Continuous Time Finance: The objective of the course is to present 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). The course has been taught in the past by Tomas Björk (Stockholm School of Economics).
  • Finance Paper Reading: In this course students learn about key papers in financial economics, required for understanding more recent papers, and to facilitate the process of reviewing the literature for their own research. This course is taught by local faculty members of the VGSF.
  • PhD Research Seminar: This course is intended as a platform for students to present their research, 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: The purpose of this course is to replicate and extend a paper (or selected aspects covered therein) published in major finance or economics journals. After preparing a proposal, students have to seek for one or two advisors from the VGSF faculty. The final version of the paper is presented in a local conference, and should be suitable for submission to a conference or journal.
  • Finance Research Seminar: In this course students get exposed to current research in finance. Renowned scholars from leading universities present and discuss their (working) papers. A list of  talks in the current year can be found here.

In addition students have to pass at least six elective courses. Students can choose from a wide range of electives, depending on their area of specialization. Examples of usually offered elective courses are:

  • Game Theory
  • Real Options
  • Advanced Corporate Finance
  • Advanced Asset Pricing
  • Empirical Asset Pricing
  • Interest Rate Models
  • Credit Risk Management

Recent elective courses have been taught by (amongst others) Christopher Hennessy from the London Business School ("Advanced Corporate Finance"), Nicolae Garleanu from the Haas School of Business, Berkeley ("Liquidity and Asset Pricing"), David Lando from the Copenhagen Business School ("Credit Risk Management"), Rossen Valkanov from the University of California San Diego ("Financial Econometrics and Empirical Portfolio Choice"), Gordon Phillips from the University of Maryland ("Interaction of Finance and Industrial Organization"), Jacob Sagi from Vanderbilt University ("Advanced Asset Pricing"), and Jiang Wang from the MIT ("Advanced Asset Pricing").

Information about past courses can be found in the archive.


© 2012 A joint initiative of the FWF - Austrian Science Fund , the Institute for Advanced Studies Vienna , the University of Vienna and the WU (Vienna University of Economics and Business) 23.03.2012