Objectives and Openings
This degree program provides top-level training in the mathematical tools needed to understand financial-market modeling and risk analysis, as well as offering electives in the economic aspects required to understand this field.
Finance is at the interface of mathematics, economics, management, and marketing. We therefore aim to cover a wide range of tools, enabling students to acquire a sound understanding of financial structures, and of mathematical modeling, numerical implementation, and statistical analysis techniques. Our constant concern is to ensure a balance between theoretical and practical training. This program aims to meet new needs created by developing, changing financial markets, and by the increasingly complex mathematical tools used. The level of mathematics on this training program also opens the door to a PhD in applied mathematics. The degree program is organized into three final specializations.
The "Probability and Finance" final specialization comes from the Master's in "Probability and Finance". Existing responsibility shared between the UPMC and the École Polytechnique is to be extended to the Université Paris-Saclay, which will play a more significant role in its teaching content. Teaching at the Université Paris-Saclay site is therefore scheduled to increase to two days a week (compared to one day at present). This program places the emphasis on cutting-edge training in stochastic analysis, random processes and their applications to financial markets. The first term, or common core, provides advanced courses in stochastic calculus, random optimization and stochastic control, and econometrics. It also includes introductory courses in deterministic and random numerical methods, as well as fundamental models for risk cover and derivatives. The second term is organized into several specialization options, with modules in further stochastic analysis and numerical probability; finance of developed and new markets; and statistics/processing of big databases. Students must also carry out an IT project involving simulation and stochastic estimation techniques. The third term is devoted to an internship in a company.
The "Statistic and Finance" final specialization is delivered entirely by the Université Paris-Saclay's partners. Drawn up from pooled existing courses and newly created ones, it aims to provide a broad overview of stochastic modeling, focusing especially on applications in finance and insurance. This training emphasizes econometrics and statistics, especially for processing temporal series, and recent big-database processing techniques. Although the courses cover important theoretical developments, students also acquire significant skills in more work-related aspects, especially asset valuation, risk management, and asset management.
The "Engineering and Finance" final specialization is taught entirely on the Evry site (UEVE). As well as the essential common core in stochastic calculus and basic financial modeling, the distinctive feature of this program is its openness to the world of work. Almost half of the lecturers have jobs in the financial markets, representing a family of professions that includes: quants/IT quants, financial engineers, various segments of the derivatives market (rates, exchange, credit, structured products in insurance), insurance agents, model validation, etc. The courses, mostly taught in English, place great emphasis on IT (VBA, Matlab, C++/C#) and numerical methods, which are validated via projects, and on recent changes in the markets. Courses with a more economic focus (risk management) can also be accessed via pooled courses from the UEVE's Master's in risk and asset management. Although this degree program focuses on the world of work, it obviously does not prevent the best students going on to do a PhD.
The natural openings are in the financial industry: banks, insurance companies and hedge funds. Significant developments in the energy and raw materials markets are also creating openings with companies in these sectors. In addition, many jobs are available in risk analysis teams of consultancy firms. Currently, around fifteen students go on to do a PhD in applied mathematics in one of the areas covered in their Master's: stochastic analysis, numerical probability, or statistics.
Who to contact?
- Coordinators: Nizar Touzi, Ecole Polytechnique (Probability and Finance), Stéphane Crépey, Université d'Evry (Engineering and Finance), Jean-David Fermanian and Christian Francq, ENSAE (Statistic and Finance)
- Secretariat Polytechnique: Nicoletta Bourgeois
- Secretariat Evry : Adélia Soares Da Costa