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Econometrics and Operations Research: Financial Econometrics

Vrije Universiteit Amsterdam
3 years
Full time
Master's degree
Amsterdam
English
Virtual open day
11/7/2021
Virtual open day
12/5/2021

Program description

Econometrics and Operations Research: Financial Econometrics

Financial Econometrics is a specialization of the Econometrics and Operations Research master's programme. This hands-on study into the econometric methods used on a daily basis in the financial industry will let you become the quantitative financial specialist and will place you at the forefront of a successful professional career.

Financial Econometrics connects different academic disciplines including mathematics, statistics, finance, and business studies, and is primarily concerned with the use of financial economic theory and statistical techniques to analyse finance-economic data sets. The econometric methods can be used to analyse financial risk, investment strategies, financial economic policy, monetary policy, high-frequency trading, capital markets, financial stability, and many other topics.

Keywords: Algebra, Calculus, Statistical theory, Regression methods, Multivariate panel data, Dynamic models, Time Series, Stochastic Finance, Derivatives.

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Admission requirements

Welcome motivated and ambitious students who are interested in advancing their knowledge in Econometrics and related subjects, and are aware of their role in society. In order to be successful in this programme you will need a solid basis in mathematics, statistics and econometrics. In particular we expect that you have passed courses in mathematics (calculus, analysis), probability, mathematical statistics, and econometrics. A basic knowledge in computer programming is also required.

Admission requirements

Students with a Bachelor's degree in Econometrics and Operations Research, Economics and Business Economics or (International) Business Administration from Vrije Universiteit Amsterdam School of Business and Economics, you are admissible to the track Econometrics of the Master Econometrics and Operations Research, and its specializations Econometric Theory, Financial Econometrics, Empirical Marketing, and Quantitative Economics, provided that you successfully meet the requirements in this document.

Application procedure

To enroll in the programme submit your enrolment application via Studielink. Please note: in Studielink you can apply for the Master in Econometrics and Operations Research and in VUnet you can select your specialization Econometrics.

Step 1:

Apply for the programme MSc Econometrics and Operations Research via Studielink before 1 June. You can apply for the specialization in VUnet (see step 2)

Step 2:

Please complete your application in VUnet by answering additional questions, affirming  your choice for the specialization Econometrics and uploading the following document:

  • a formal transcript of your bachelor grades. Your transcript must include an average score (GPA).

Please note: we can only process your application when your choice of specialization is clear and you uploaded your transcript.

More information regarding registration WO-bachelors, see the VU website (in Dutch).

Services for international (IBA) students / Residence permit:

If you are planning to continue your studies at Vrije Universiteit Amsterdam after your IBA, please contact the Central Admission’s Support Team of Vrije Universiteit Amsterdam for further information and specific questions about the offered services for international students like extending your residence permit. You will need to apply for extension of your residence permit if you continue your studies at Vrije Universiteit Amsterdam.


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Program content

Three core 6 EC courses (compulsory):

•    Advanced Econometrics
•    Multivairate Econometrics
•    Time Series Models

Five specialization courses (of which one is compulsory and 2 or 3 elective):

•    Asset Pricing
•    Stochastic Processes: The Fundamentals
•    Stochastic Processes for Finance and Derivatives Markets
•    Derivatives
•    Financial Econometrics Case Study (compulsory; a practical study in a financial problem related to big data or high-frequency financial data)

One elective 6 EC course (or additional specialization course):

•    Large Scale Data Engineering
•    Web Data Processing Systems
•    Financial Markets and Institutions 
•    Big Data Analytics
•    Institutional Investments and Asset Liability Management
•    Quantitative Financial Risk Management
•    Computational Finance

Thesis (18 EC): an in-depth study on a challenging topic in financial econometrics with emphasis on methodology, empirics or computing.

Tuition fees

  • Tuition fee for EU: € 1,084
  • Tuition fee for NON-EU/EEA: € 15,546

Continuing studies

PhD student, Risk analyst, Quantitative Risk analyst, Risk Modeler, Investment analyst, Consultant Data Analytics, Systematic Quant, Systematic Trader, Financial Risk analyst, Financial Stability analyst, Capital Market analyst, Statistical researcher, Quantitative financial analyst, Quantitative researcher, Data analyst, Quantitative methods instructor, Data scientist, Capital Management consultant, Statistician, Quant Fund analyst, and many more

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About this institute

Welcome to Vrije Universiteit Amsterdam

Vrije Universiteit Amsterdam (‘VU Amsterdam’) is an internationally renowned research university founded in 1880. The university offers over 175 English-taught programmes at Bachelor’s, Master’s and PhD level to more than 26,000 students from all over the world. Students and staff...


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Why study at Vrije Universiteit Amsterdam

With more than 24,000 students, of which 4,088 are international, VU Amsterdam conducts cutting-edge research into problems of societal and scientific importance.

They distinguish themselves in research and education through four interdisciplinary themes:

  • Human Health and Life Sciences
  • Science for Sustainability
  • Connected World
  • Governance for Society

As a student this will help you to look beyond the boundaries of scientific disciplines, and to seek for tangible solutions for a better world.

In addition, VU Amsterdam regards diversity, whether in culture, conviction, nationality or prior education, as source of innovation and progress, and hence as special strength.

The Dutch higher education system has been ranked in the top 10 by Universitas 21. In the first Times Higher Education University Impact Ranking, VU Amsterdam is ranked 16th worldwide. In this ranking, universities are assessed based on Sustainable Development Goals (SDGs) in order to measure the impact of the universities on society. In the Academic Ranking of World Universities 2018 (Shanghai Ranking) VU Amsterdam holds the 104th position. The international QS World University ranking 2021 places the Vrije Universiteit at number 236 in the world, which means the Vrije Universiteit belongs to the top 20% of the world.

At VU Amsterdam, the teaching style can be described as student-centred: they encourage students to develop their own opinions through independent and creative thinking. This means that teaching is mainly conducted in small tutorials, where interactivity is the norm rather than the exception. At every opportunity, students are encouraged to engage in constructive dialogue with their professors.

Contact info

Vrije Universiteit Amsterdam

De Boelelaan 1105
1081 HV Amsterdam
Netherlands, the

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