In the Financial Econometrics track of the Econometrics Master’s programme, you'll study the econometric techniques that have been developed for the analysis of financial markets. The programme teaches you about (multivariate) modelling of volatility, Value at Risk, and asset pricing. With an excellent teaching staff and a high regard for critical thought, you're sure to find challenging discussions, rewarding research and an overall unforgettable experience.
Familiarise yourself with the application of econometric techniques on empirical data;
- interpret the results from a financial perspective;
- become an expert in the complex mathematics of the financial economy.
One Master’s programme, five tracks
The Master’s in Econometrics offers you the option to choose one of five top-level academic specialisation tracks:
- Financial Econometrics
- Mathematical Economics
- Big Data Business Analytics
- Free Track
Each track offers electives as well as fieldwork courses for you to choose from.
After successful completion of this programme, you will receive a legally accredited Master’s degree in Econometrics and the title Master of Science (MSc).
You can combine this programme with a MSc in Mathematics for a double degree. For more information on this option, click on this link.
Econometrics: Financial Econometrics
The Amsterdam School of Economics' Master’s in Econometrics provides a balanced and rigorous training in the quantitative analysis of problems in economics and finance. You will become fluent in the application of advanced mathematical and statistical methods, supported by modern software packages such as E-Views and Matlab. The multidisciplinary one-year programme consists of advanced courses in both mathematical economics and econometrics.
The programme in brief
To fully understand the field of Financial Econometrics, you'll need the skills, expertise and techniques that are required to apply robust statistical methods, to be used in exploring all topics, research and issues relevant to the discipline. Dive into(non) linear time series analysis, the Black-Scholes-Merton model and learn everything there is to know about Binomial Option Pricing – the subjects are endless. The multidisciplinary character of the programme is reflected in the wide range of courses you can take, such as: Stochastic Calculus, Micro-Econometrics, Derivatives and Bounded Rationality.
All of the acclaimed lecturers in the programme are researchers in one of the ten research programmes of the Amsterdam School of Economics (ASE). Benefit from a curriculum designed to cover both the knowledge and skills required for financial econometrics careers in the field of business as well as in research. The ASE’s affiliation with a number of internal and external economics-related research institutes enriches the research and career opportunities for students in the Master’s programme.
The Financial Econometrics track of the master Econometrics is a one-year programme of 60 ECTS credits (1 ECTS credit = 0.5 US credits). The academic year runs from September to the middle of July and is divided into two semesters, each with three periods. Refer to the academic calendar for exact dates.
The curriculum for the Master’s in Econometrics is quite demanding, with classes taking up 12-15 hours a week on average. An additional 25 hours are required for class preparation, homework, debates, casework and computer time.
In the first semester, you'll be given a solid basis in econometrics with several core courses for students of all tracks. General Equilibrium Theory teaches you to formulate the general equilibrium model and understand its basic properties, and critically evaluate underlying model assumptions and implications. Through Advanced Econometrics 1 and 2, you’ll obtain a deep understanding of econometric theory, practice and inference by using a variety of advanced techniques. The theoretical background and economic applications of Game Theory trains you in the ability to model interactive decision-making situations using game-theoretic techniques, and compute and characterise their equilibrium outcomes.
You'll take one track defining course: Caput Derivatives. You’ll learn about the most important types of financial derivatives, their markets and use for financial institutions and other firms, and gain advanced knowledge of models for the pricing and hedging of derivatives. For your elective, you can choose from the wide variety offered for all Econometrics tracks.
During the first part of the second semester, you'll focus on your specialisation track in two track defining courses. Financial Econometrics covers topics such as non-linear time series, volatility models, and the pricing of complex derivatives, while Stochastic Calculus helps you obtain a working knowledge of probability theory, stochastic processes and stochastic calculus. A third course can be chosen from the wide variety offered for all Econometrics tracks. Part two will be spent on completing a thesis in Financial Econometrics. A research staff member from the Department of Quantitative Economics will supervise your work.
Where do Econometrics graduates work?
Examples of positions currently held by Econometrics graduates include:
- Chief economist at major international bank;
- managing consultant at major consulting firm;
- risk management consultant;
- senior advisor at the Dutch Monopoly and Merger committee;
- financial controller;
- director/CEO/CFO/owner of company.
This school offers programs in:
Cost & Fees
The statutory tuition fee (except for the part-time rate) is determined annually by the Dutch government. Institutional tuition fee rates are set by the higher education institutions individually, and apply to students who do not meet the conditions for the statutory tuition fee rate.
The tuition fee rate is valid for a full academic year. The rate for enrolment as of 1 February can be determined by calculating 7/12ths of the given rate.
Statutory tuition fees 2016-2017
- full-time students € 1,984
- part-time students € 1,706
- dual programme students € 1,984
- AUC students € 4,154
- PPLE students € 3,968
Information for students from the Netherlands, the EEA, the EU, Switzerland and Suriname.
Students from the Netherlands, other countries within the European Economic Area (EEA), the EU, Switzerland and Suriname pay the statutory tuition fees if they satisfy the legal requirements. Institutional fee for students who do not qualify for the statutory fees
You are required to pay the institutional tuition fee if:
- you are not a national of an EU or EEA Member State, Switzerland or Suriname;
- after obtaining your Dutch Bachelor's degree you enrol in a second Bachelor's programme;
- after obtaining your Dutch Master's degree you enrol in a second Master's programme;
- you fail to satisfy all the conditions under one of the UvA's transitional arrangements. You can find the regulations in the 2015-2016 Enrolment Provisions or the 2016-2017 Enrolment Provisions (in Dutch).
Last updated April 19, 2016