Programme MAF

The second year Masters is structured into two semesters.

The first semester courses (F1) cover the core subjects.IT development sessions are also provided.The first semester examinations are at the beginning of January.
The second semester (F2) is partly focused on more specialised courses (from January to March) and partly on an introductory research internship.
The list of courses below is for information purposes, and may be altered during the first semester, depending on student numbers and interests.

Students on the programme must complete the core “Finance” UE (course unit) – 3 classes for a total of 24 ECTS – and the “Advanced Financial Mathematics” UE (21 ECTS), and the placement (15 ECTS).

The research induction placement begins in April.This placement (or dissertation) can take place in a university research centre, or in an applied research team in a public institution or company.The placement dissertation is presented to the jury and counts for 15 ECTS.

Each course is completed with a final exam. On certain courses, students may be asked to produce an IT project. The grade for this project will account for a maximum of half the final grade.
In the “Finance” programme, a student must achieve an average of at least 10 in the F1 and F2 course units (with grades being transferred between course units proportionally to the ECTS obtained) and also a placement grade of 10 or more.
The overall average is calculated as a proportion of the ECTS obtained (45 ECTS for the courses, 15 ECTS for the placement), with scores being transferred between course units (except the placement).

F1 - Core subjects in Finance

This course unit is organised in partnership with the ENPC engineering programme.
The opening week on “quantitative finance”, organised by ENPC, will introduce students to the realities of the financial markets, in particular through contributions by working practitioners.

• Stochastic calculation and applications to finance by Prof Damien LAMBERTON
• Monte Carlo methods in finance by Profs  Eric BENHAMOU / Benjamin JOURDAIN / Bernard LAPEYRE
• Interest rate models by Prof  Vlad BALL
• Information Technology
• Opening week on “Quantitative Finance”

F2 Advanced financial mathematics

This compulsory course unit in the Finance programme consists of one course worth 9 ECTS:

• Introduction to Malliavin calculus and numerical applications in finance by Prof Vlad BALLY 

In addition, students must take two courses (at least) worth 6 ECTS from the list below:

• Processing market data by Profs  Aurélien ALFONSI / Stéphane CREPEY / Arnaud GLOTER
• Mathematical credit risk tools by Prof  Monique JEANBLANC
• Risk measurements in finance by Profs Aurélien ALFONSI / Peter TANKOV
• Jump processes and applications to the energy market by Profs Jan-François DELMAS / Benjamin JOURDAIN
• Evolution equations:theory and algorithms by Prof  Robert EYMARD
• Modelling and simulation by Prof  Thierry JEANTHEAU
• Stochastic processes 2 by Prof Djalil CHAFAÏ
• Deterministic methods in finance
• Advanced stochastic modelling