Contents
20 weeks of courses over 6 months. Two units of skills – Friday all and saturday morning
Units of skills 1 : Financial Engineering / Fundamental tools and methods.
Units of skills 2 : Financial Engineering / Advanced applications.
20 weeks of courses over 6 months. Two units of skills – Friday all and saturday morning
Units of skills 1 : Financial Engineering / Fundamental tools and methods.
Units of skills 2 : Financial Engineering / Advanced applications.
Stochastic modeling and derivatives
Course and small classes
Emmanuel Gobet, PR. Ecole Polytechnique
Aim : master the up-to-date tools for stochastic modeling used in pricing/hedging derivatives, calibratiing models, managing and modeling risks.
Content :
Evaluation : written final exam + pricing/calibration project joint with “Numerical methods”.
Acquired skills : In-depth understanding of stochastic models dynamics of traded assets, inetrest rates, etc, and their use for the pricing of derivative products and risk management.
Numerical methods : efficient Monte Carlo
Course and small classes
Gilles Pages, PR. Sorbonne Université
Aim : Provide fast efficient simulation methods for pricing and hedging derivatives on various asset classes, risk management, model validation.
Content :
Evaluation : written final exam + computing project joint with « Stochastic Calculus & Control ou Derivatives.
Acquired skills : Optimize the implementation of a Monte Carlo simulation method under operational constraints.
Statistical Methods and Data Science for Finance
Course and small classes
Mathieu Rosenbaum, PR. Ecole Polytechnique
Aim : Introduction to standard statistical methods for risk management.
Content :
Evaluation : Take home QCM + computing project joint with « Derivatives”.
Acquired skills : Estimation techniques for portfolio management, Econometrics of high dimensional data,
Risk modelling and forecasting.
Stochastic calculus and control theory
Course and small classes
Nizar Touzi, PR. Ecole Polytechnique
Aim : Basics of stochastic calculus tools for finacial modeling, Hamilton-Jacobi-Bellman equations for control problems, applications in hedging and portfolio optimization.
Content :
Evaluation : Take home QCM + computing project joint with « Numerical methods”.
Acquired skills : Stochastic modeling, optimization under uncertainty, nonlinear partial differential equations.
Professional seminars/meetings
Regulation
Course and small classes
Michael Vincent, Sorbonne Université
AIM : Introduction to regulation starting from a historical viewpoint.
Content :
Evaluation : written examination (QCM).
Acquired skills : History of regulation through successive crisis, and its impact on the design, the trading and the hedging of derivative products.
High Frequency and Algorithmic Trading
Course and small classes
Charles Albert Lehalle, Senior Researcher, CFM, Mathieu Rosenbaum, PR. Ecole Polytechnique
Aim : Introduction to cutting edge statistical and stochastic control techniques for high frequency finance under the new regulatory environment.
Content :
Evaluation : written examination + project (joint with other courses).
Acquired skills : Master the principles, models and techniques of High Frequency and Algorithmic Trading in connection with the evolution of the regulation.
Energy Markets
Small classes
Olivier Bardou ENGIE & Sorbonne Université, René Aïd, PR Dauphine
AIM : Introduction to the specificities of energy markets and to the mathematical tools.
Content :
Evaluation : written examination.
Acquired skills : Master the principle of modelling of assets and the pricing of spot/forward contracts on energy markets (especially gas and electricity).
Fintech/Retail finance
Small classes
Sébastien Choukroun, PwC
AIM : Basic notions of machine learning.
Content :
Evaluation : analysis of a use case.
Acquired skills : Understand the basics of blockchain technology and how to use it for crypto-currencies with a focus on use case.
Machine learning
Course and small classes
Victor Reutenauer, Dirigeant Fotonower
AIM : Basic notions of machine learning.
Content :
Evaluation : written examination and/or project (shared with other courses).
Acquired skills : Master the basics from supervised and unsupervised in order to use the main plateforms recently released like tensorflow, pytorch, etc, in view of financial application.