Responsable: Dominique Guégan

Co-responsable: Christophe Chorro

 

The aim of the track Quantitative Finance of the master MMMEF is the training of researchers and  experts in the field of financial markets, financial mathematics, financial engineering and risk management in finance. Our goal is to train both specialists capable of working as professionals in business or doing research

 

Organisation of the track

 

First Quarter (September 2011 - December 2011)

 

The 1st quarter courses begin September 5, 201. Each student will choose the courses with the head of the track during an interview. The student must take the equivalent of 27 ECTS during the quarter. Courses can be 6 ECTS or 3 ECTS.

 

 

Mandatory course :

 

-Stochastic calculus1 (6 ECTS) (B. de Meyer)

 

A course to choose from:

 

-Stochastic calculus 2 (6 ECTS) (A. Millet)

 

- Probabisitic and statistical methods for finance I and II  (I: Extreme value theory - II: Risk measures) (3ECTS+3ECTS) (D. Guégan)

 

Course for 15 ECTS from:

-Foundations of finance (3 ECTS) (E. Koehler): mandatory course for students who do not follow the same course during their previous curriculum.

 

- Arbitrage theory (3 ECTS) (C. Chorro): cours obligatoire pour les étudiants n'ayant pas suivi ce cours dans leur précédent cursus.

 

- PDF in finance (3 ECTS)

 

- Probabisitic and statistical methods for finance II: Risk measures (3 ECTS) (D. Guégan)

 

- Non linear time series in Finance (Financial econometrics) (3 ECTS) (D. Guégan)

 

- Decision under uncertainty (3 ECTS) (A. Chateauneuf)

 

- Game theory I et II (3 ECTS + ECTS) (J. Abdou)

 

- Théorie de l'équilibre général économique I et II  (3 ECTS + 3 ECTS) JM. Bonnisseau et C. Le Van

 - Controlled Markov processes: dynamic programming and applications  (3 ECTS) (M. Akian)

- Introduction à la commande des systèmes dynamiques (3 ECTS)

 

- Méthodes numériques en optimisation (6 ECTS) 5 A. Renault)

 

2nd quarter (January 2012 - March 2012)

 All courses correspond to 3 ECTS.

Courses to choose from (corresponding to 18 ECTS *):

-Processus de Lévy (ENSTA)

-Calibration, volatilité locale et stochastique (ENSTA)

-Modèles de taux (E. Koehler)

-Econométrie des modèles d'évaluation d'actifs (F. Ielpo)

-Fair value and illiquidy (G. Giraud)

-Dérivés de crédit (JF. Jouanin)

-Information, finance et théorie des jeux (B. de Meyer)

- Environemental Finance  (M. Frunza)

-Sensibilité et Méthodes de Monte Carlo: applications à la finance (C. Chorro)

- Produits structurés (I. Nagot)

-Méthodes numériques en optimisation stochastique (P. Carpentier)

-Stochastic control in continuous time (J.P Chancelier)

-Equilibre des marchés financiers  (B. Cornet)

-Microéconomie de l'assurance (A. Chateauneuf)

-Risque et décision (A. Chateauneuf)

-Méthodes de Monte-Carlo (6 ECTS) (A. Millet)

 

A course may be taken into another Master research M2 inside University Paris1 or in another university in agreement with the head of the track Quantitative Finance.

 

 

3rd Quarter (From the 1st of  March, 2012)

  

Memory research, possibly prepared as part of an internship (15 ETCS).  The defense of the memory research will take place in September 2012. 

 

The jobs after the training

This master's research allows students to continue their training in the framework of a doctoral thesis in the laboratory CES of the University Paris 1 or in other  laboratories.

For students who wish to integrate into the workplace they can candidate inside banks (front or middle office), in insurance companies or in companies that have branches in financial analysis.

Students interested in working as a front office can focus on classes of stochastic calculus,   risk measures, Lévy processes, the EDP in finance and numerical methods, yield curves models, credit derivatives or inflation calibration. ..

Students interested in working as a middle office can focus on courses such as methods in probability and statistics in finance, measures of risk, decision under uncertainty, inflation  and credit derivatives, financial econometrics, calibration, control of dynamic systems, stochastic control ...

Students interested in a job in insurance or financial strategy can focus on courses on statisitics and probabilistic methods in finance, microeconomics, insurance, game theory, courses on decision theory,  general equilibrium of financial markets, ...