"Engineering of Financial Mathematics" track
Courses are divided into two categories: (i) fundamental courses and (ii) specialization and advanced courses. Each course is a 18-hour course and accounts for 3 ECTS, apart from "double" courses which are 36-hour courses and account for 6 ECTS.
The list of courses along with the associated syllabus are available in pdf. IN CONSTRUCTION
1st Trimester
UE1
1 mandatory course of 36h (6 ECTS) :
- Stochastic calculus: Application to finance - Christophe CHORRO
- Introduction to finance – Etienne KOEHLER
- Financial markets – Pascal COMBE
- Portfolio management – Rania KAFFEL
- Optimal command – Joël BLOT
- Numerical methods in optimisation 1 – Kengy BARTY
- Mathematics of insurance – Jean-Philippe MÉDECIN
- Microeconomics of insurance – Pascal GOURDEL
- Foreign language : English – Gordana De LA RONCIÈRE
- Computer training C++ – Natalia PIATOWSKA
- Computer training VBA – Natalia PIATOWSKA
- Data science software – Bertrand HASSANI
- Seminar Professional cases – Isabelle NAGOT
- Course-project : Computer methods and projects in finance
2nd Trimester
UE3
4 advanced courses of 18h (3 x 3 = 9 ECTS) among:
- Yield curve models – Etienne KOEHLER
- Econometrics of asset pricing models - F. Ielpo / C. Chorro
- Asset liability management – Ludovic MOREAU
- Hedge funds – Olivier GUEANT
- Decision under uncertainty – Vassili VERGOPOULOS
- Derivatives pricing cases – Jérémy BONNEFOY
- Credit Risk – Etienne KOEHLER
- Market risk measures – Olivier GUEANT
- An introduction to data science and big data – Fabrice ROSSI (M2 MMMEF)
- Interdisciplinary finance - Jorgen Vitting ANDERSEN
