Teaching

Complementary courses (refresher courses, pre-registration required) from Monday, September 2, 2024:

ROQUAIN Elements of Statistics 18h
MAZLIAK Additional Probability 18h
LEMAIRE Python for Data Science 18h
PRINTEMS PDEs for finance 18h

First semester : from September 16, 2024


UE Probability, simulation and optimisation (165h, 15 ECTS) :

ZAMBOTTI Introduction to diffusion processes 48h
PAGÈS
LEMAIRE
Numerical probability: Monte Carlo simulation and stochastic optimisation 48h + projet
KHARROUBI Convexity, optimization and stochastic control 24h
GALLINARI
WILBERTZ
Machine learning, neural networks and deep learning 36h

UE Financial markets, Derivatives and Econometrics (132h, 15 ECTS) :

GOBET Stochastic modelling and derivatives in traditional markets and in crypto-markets 30h
EL KAROUI
GRBAC
Interest rates models 24h
ROSENBAUM High frequency : probabilistic tools, statistical modeling across scales and trading problems 30h
LOZEVE
DE LANGHE
Financial markets and financial theory 30h
ALFONSI
ABBAS-TURKI
Risk measures and extremes 18h

Second semester : from January 6, 2025


Mandatory courses (included in UE Financial markets, Derivatives and Econometrics) :

VINCENT What financial crises teach us: changes in practices and regulation 15h
DUQUESNE Introduction to jump models 18h

Optional UE:

In order to address a number of topical issues in the market, optional UEs are proposed. They will take place intensively during the months of January to March. Four courses (at least) must be taken in the following modules, of which two (at least) must be taken in the same specialization module (major). The validation of two courses confers 3 ECTS, and the validation of the other two courses confers 3 other ECTS. Attention: Some courses may appear more than once.

Advanced numerical probability :

LEMAIRE Machine learning for derivatives 15h
PAGÈS Stochastic optimization for Machine Learning for finance 15h
ABBAS-TURKI Massive parallel programming on GPU devices for Big Data 15h
JOURDAIN Monte-Carlo algorithms for Markov chains and particle methods 15h
ABI JABER Fractional and Volterra processes in Finance 15h
MILICA TOMASEVIC Processus de type McKean-Vlasov et EDP Paraboliques 15h
PHAM Machine learning and stochastic control 15h

Machine learning and statistical models for market finance :

BACRY Multi-scale statistical analysis and modeling of financial time series 15h
LEHALLE
LARUELLE
Machine Learning and optimal trading 15h + 15h de TD
LEMAIRE Machine learning for derivatives 15h
PAGÈS Stochastic optimization for Machine Learning for finance 15h
PHAM Machine learning and stochastic control 15h

Derivatives (advanced) :

GUYON Non linear pricing 15h
KHARROUBI Stochastic Control for Imperfect Market Models 15h
DE MARCO Calibration, local and stochastic volatility 15h
MIGUS
EL KAROUI
Interest Rate Models and Derivatives: New Paradigm, Counterparty Risk 15h
BERTUCCI Medium field games 15h
ABI JABER Fractional and Volterra processes in Finance 15h
GUYON Advanced calibration methods and VIX derivatives 15h

New markets :

BARDOU Valuation and risk management in energy markets 15h
CHOUKROUN Blockchains: from the launch of Bitcoin to today. Fintechs: presentations and opportunities 15h
TURC Quantitative strategy: application to the credit market 15h
THOMAS Non-life insurance econometrics 15h

Professional Opening :

ATTALI Asset allocation and multi-asset arbitrage 15h
LEHALLE
LARUELLE
Machine Learning and optimal trading 15h + 15h de TD
TURC Quantitative strategy: application to the credit market 15h

Internship: from April 7, 2025