- Quantitative Methods covers the basic analytical tools required to conduct research in finance (essentially stochastic calculus and optimization methods).
- Financial Econometrics covers 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 companies and in particular with the determinants of corporate capital structure choice.
- 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 literature in financial economics, required for understanding more recent papers, and to facilitate the process of reviewing the literature for students’ own research.
- PhD Research Seminar provides a platform for students to present their own research (proposals). Students have to present their papers twice a year and discuss two papers by their fellow students. The seminars are supervised by VGSF faculty members.
- Paper Writing focuses on replicating and expanding papers published in major finance or economics journals.
Toni Whited, VGSF Affiliated Faculty
University of Michigan
"I have been teaching applied econometrics in this program for over a decade. Why do I keep coming back? The students are great. The curriculum is comparable to the those in top PhD programs in the world. Most importantly, the faculty really care about the program and are closely involved with the students."
Students are required to complete at least six elective courses. Electives can include courses like:
- Advanced Time Series and Financial Econometrics - Nikolaus Hautsch from the University of Vienna
- 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 and Empirical Portfolio Choice - Rossen Valkanov from the University of California San Diego
- Financial Fragility - Itay Goldstein from Wharton Business School
- Financial Intermediation - Gyöngyi Loranth from the University of Vienna
- Game Theory - Larry Blume from Cornell University
- 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
- Market Microstructure - Thomas Gehrig from the University of Vienna