Quantitative Finance Master's

Background

Last semester I decided to take the following courses:

Advanced Financial Economics (6 ects, UZH)
Financial Engineering (6 ects, UZH)
Portfolio Management Theory II (3 ects, UZH)
Applied Stochastic Processes (7ects, ETH)
Quantitative Risk Management (4 ects, ETH)
Mathematics for New Technologies in Finance (4 ects, ETH)

It is probably fair to also preface this text with saying that I almost never visited the lectures in person, nor the exercise classes. I personally study better by going through the slides and material myself, instead of visiting class. For this I spent most of my days studying in the library instead, and I honestly am not sure if I would recommend everyone to do this as this a rather personal style of studying.

The main gripe I have with UZH courses is that the exams are set up to be easily gradeable by the TAs, rather than a way of testing student’s knowledge. It is honestly also baffling to me why there is no 4-eyes principle, certain TAs grade only specific parts of the exam and during the exam review I had to ask another TA because the TA didn’t grade that part. This misses fairness and openness to me, as they will not provide you with a solution key, sometimes feeling that the grading is arbitrary. It’s sometimes also that certain questions are there to trick you, for example that option prices are generally monotonically increasing, in the absence of (absurd) dividends.

Course Review

Advanced Financial Economics

In this course you dive mostly into asset pricing, from a utility and a non-arbitrage perspective, where in my opinion the latter makes sense but the former is something that is a bit more magical. The professor is motivated and excited to teach, but in the end I was not really happy about this course as I felt like it lacked some substance. In the course you are promised to learn about machine learning, but in the end entails a jump into a shallow puddle. You will hear the words “trees”, “backpropagation” and “l1 and l2-regression” mentioned, but apart from very examples you do not really learn anything from it directly.

As part of the grades you have to do weekly homeworks, which in a way is nice to keep you active with the material. However, since it’s rather pass/fail you do not get feedback, so if you do make mistakes you will still pass the homework, but not see what you did wrongly. The midterm was rather easy, but I am not a fan of multiple choice questions as it does not allow you to demonstrate your thinking process, and especially since you are graded on a curve. The final was also representative of the material, but for one of the questions I had a different, albeit correct, way of solving which was marked incorrectly. I did managed to point out the mistake, and it resulted in my final grade being 0.50 higher.

Financial Engineering

This course is actually a very interesting course, where you dive into pricing different types of options, but the lecture is a bit monotone and lacks theoretical background often. Often in the course you will hear things like “let’s just assume this”. The exam was quite large and there were not many who were able to finish it in time. I would have to say it’s a nice course to do after taking Mathematical Foundations for Finance, but otherwise I can see how it can be quite hard. One complaint I have also heard is that partial points are not awarded, which also I don’t agree with. Again, exams should be testing student’s knowledge rather than memorization or rule-based learning.

Portfolio Management Theory II

This is a part of the Portfolio Management Programme (PMP), hence there is no point in going to deep into it. We had to backtest and create our own strategy, which you finalize by writing a paper on it.

Applied Stochastic Processes

One of the best courses I have ever taken, however I believe it’s only offered every two years. In this course you dive into Markov chains, poisson processes, thinning, marking, and the theory of stationarity in a chain. The course is applied in the sense of doing calculations, rather than only working on the theory, but if your background is not in writing mathematical proofs you will struggle with that part. Nonetheless, I did manage to learn a lot and it was actually one of the courses I did visit as often I could. The exam is fairly graded and tests the concepts during the semester, so if you manage to keep up fine with that you will do fine at the exam. Note the course is mostly taken by mathematics students, so usually the pace is also a little bit different.