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Econometrics: Financial Econometrics (track)

Study programme

Econometrics: Financial Econometrics

Programme: common part

The common programme in brief of the MSc in Econometrics (60 ec) consists of the four courses (20 ec in total):

  • Advanced Econometrics I (semester 1, blocks 1+2): this course discusses up to date econometric techniques to analyse economic data;
  • Theory of Markets (semester 1, block 1): this course is on the analysis of markets using advanced mathematical tools;
  • Data Science Methods (semester 1, block 1): this course provides insight in processing and analysis large quatities of information (big data);
  • Advanced Econometrics II (semester 1, block 3): this course discusses relevant topics in modern economentrics.

After the first period of semester 1, students choose two out of three of the courses:

  • Complex Economic Dynamics;
  • Financial Mathematics for Insurance (6 EC);
  • Machine Learning for Econometrics.

This choice restricts track choices from four to three because Complex Economic Dynamics is mandatory in the Complexity and Economic Behaviour track, Financial Mathematics is compulsory in the Financial Econometrics track and Machine Learning is compulsory in the Data Science and Business Analytics track.

The semester 2 courses are all track specific. Information on these courses can be found below.

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. 

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.

Programme structure

The Financial Econometrics track of the master Econometrics is a one-year programme of 61 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. 

First semester

31 EC will be from the courses described above. It is mandatory to choose Financial Mathematics for Insurance. This is a 6 EC course because it is also part of the MSc in Actuarial Science.

Second semester

The students of this track do:

  • Stochastic Calculus (5 EC, semester 2, block 1+2);
  • Financial Econometrics (5 EC, semester 2, block 1);
  • An elective from the list below;
  • 15 ECmaster thesis on financial econometrics.

Course Catalogue

Financial Econometrics: electives

  • Behavioural Finance,
  • Behavioural Macro and Finance
  • Economic and Financial Network Analysis
  • Fixed Income Risk Management,
  • Microeconometrics
  • Real Estate Finance
  • Real Estate Investments.


Your Master’s thesis is your graduation piece of work and it will be supervised by one of the researchers in Department of Quantitative Economics. Your thesis must add to the existing body of scientific knowledge to an appropriate extent and it may be written during an internship at a firm.