Statistics, Finance and Actuarial Science

In the master program "Applied Mathematics, Statistics"
(Institut Polytechnique de Paris)

Schedule

The schedule is available on pamplemousse.ensae.fr. You will also find a provisional version of the schedule here.
Please find the slides that were presented at the information meeting on 30 August 2021 here.
Please find a provisional version of the second semester schedule here.

List of Courses

Core Courses

All core courses will be taught in English.
The students have to validate at least five courses in the group "Core courses".

Proficiency in the French language is required to be accredited as an actuary by the French Institute of actuaries.

Group "Core Courses"

- Financial time series (F. Roueff) 5 ECTS (Sem1)

- GARCH and stochastic volatility models (C. Francq) 3 ECTS (Sem2)

- Statistics of diffusion processes (A. Gloter) 4 ECTS (Sem2)

- Financial Econometrics (J.-M. Zakoian) 4 ECTS (Sem1)

- Pricing and hedging of financial derivatives (P. Tankov) 4 ECTS (Sem1)

- Introduction to Risk Management (J.-D. Fermanian) 3 ECTS (Sem1)

- Advanced Machine Learning (V. Perchet) 4 ECTS (Sem1)

- Extreme-value theory (C.-Y. Robert) 3 ECTS (Sem2)

In addition, the students are advised to validate at least one course in each of the following groups of courses : "Financial Time Series", "Mathematical Finance", "Risks in Finance and Insurance" and "Statistics and Machine Learning". Therefore, they will be able to delve deeper into a wide range of topics. All elective courses will be taught in English, with some exceptions in the group "Actuarial Science" below.

Elective Courses

Group "Actuarial Science"

- Actuarial study of non-life insurance (C. Dutang) 4 ECTS (Sem1)

- Actuarial study of life insurance (S. Loisel, M. Chauvigny, and A. Boumezoued) 4 ECTS (Sem1)

- Microeconomic theory of insurance (P. Picard) 3 ECTS (Sem1)

- Actuarial study of pensions (N. Gautron) 2 ECTS (Sem2)

- Regulation and insurance (F. le Vallois) 2 ECTS (Sem2)

- Risk management and reinsurance (P. Lacoste) 3 ECTS (Sem2)

- Risk Sharing and Reinsurance (M. Ghossoub) (CREST 2021/2022) 2 ECTS (Sem2)

Group "Financial Time Series"

- High frequency data and order books (I. Muni Toke) – course location: Centrale 3 ECTS (Sem2)

- Physics of financial markets (D. Challet) – course location: Centrale 3 ECTS (Sem1)

- Algorithmic trading (O. Guéant) 3 ECTS (Sem2)

- Financial markets: an introduction to Econophysics (M. Benzaquen) 3 ECTS (Sem1)

- Dynamic Statistical models with hidden variables (J.-M. Zakoian) 3 ECTS (Sem1)

Group "Mathematical Finance"

- Numerical methods in financial engineering (S. Pulido, E. Abi Jaber) 3 ECTS (Sem2)

- Econometrics of Commodity and Asset Pricing (F. Pegoraro) 3 ECTS (Sem2)

- Dynamic optimization and reinforcement learning (H. Pham) 3 ECTS (Sem1)

- Levy processes and financial applications (A. Popier) – course location: ENSTA 3 ECTS (Sem2)

- Portfolio Management (F. Violante) 3 ECTS (Sem2)

- Stochastic calculus (F. Russo) – course location: ENSTA 5 ECTS (Sem1)

- Interest rate curve models (C. Hillairet, A. Chaix) 4 ECTS (Sem2)

Group "Risks in finance and insurance"

- Modeling and managing energy risks (P. Tankov) 2 ECTS (Sem1)

- Risk measures (C. Francq) 2 ECTS (Sem1)

- Credit risk (C. Hillairet) 3 ECTS (Sem2)

- Duration models (O. Lopez) 3 ECTS (Sem1)

- Extreme-value theory (C.Y. Robert) 3 ECTS (Sem2)

- Green Finance (P. Tankov & O. Zerbib) 3 ECTS (Sem1)

- Copulas and financial applications (J.-D. Fermanian) 3 ECTS (Sem1)

- Risk management and reinsurance (P. Lacoste) 3 ECTS (Sem2)

- Risk theory (C.Y. Robert) 2 ECTS (Sem1)

Group "Statistics and Machine Learning"

- Hidden Markov models and Sequential Monte-Carlo methods (N. Chopin) 3 ECTS (Sem1)

- Artificial intelligence for actuarial studies (A. Ly) 3 ECTS (Sem2)

- High-dimension statistics (A. Tsybakov) 4 ECTS (Sem1)

- Online learning and aggregation (A. Tsybakov) 3 ECTS (Sem2)

- Machine learning for finance (J.-D. Fermanian & H. Pham) 3 ECTS (Sem2)

- Data challenges in actuarial science and regulation (M. Donio) 2 ECTS (Sem2)

Cross-cutting skills

Students may decide to include one course per semester from the following table. These courses will allow French-speaking students to improve their oral presentation skills in English and foreign students to learn French.

Group "Cross-cutting skills"

- Public Speaking (A-M. Woods) 3 ECTS (Sem1)

- Giving Research Presentations (A-M. Woods) 3 ECTS (Sem2)

- Français langue étrangère (M. Desroches) 3 ECTS (Sem1)

- Français langue étrangère (M. Desroches) 3 ECTS (Sem2)

Research Projects

Students have the opportunity to participate in a prospective work, in groups of 3 or 4 and under the supervision of a researcher or a professional. The aim of this teaching is to study a problem coming from the world of finance or insurance in greater depth throughout the year, from both an academic (analysis of the literature) and practical (use of a database) perspective. It will result in an interim report at the end of January, a final report in May and an oral presentation. This is a fully-fledged course, which will allow the validation of 3 ECTS in the first semester and 3 ECTS in the second semester. More details here.

Seminar "professionals"

The master students have to take part of regular conferences. They will be organized and animated by some professionals who work in diverse financial institutions (finance and insurance).

Master internship

The master internship takes place in a company or in a research laboratory. It lasts from three to six months and starts after the second semester courses, between the beginning of May and the end of October. The internship is followed by an evaluation which is credited of 14 ECTS, for the second semester. For more informations, please consult page http://www.master-statistique-finance.com/IP_Paris/internships.php.

Refresher Courses

Depending on the student background, some "Refresher Courses" may be necessary. They will take place in the month of September.
For students who are not from the second year of ENSAE, it is strongly recommended to those who want to take the course "Risk Management (J.-D. Fermanian)" to follow the course "Financial instruments (A. Chaix)".
For students who are not from the second year of ENSAE, it is strongly recommended to those who want to take the course " Microeconomic theory of insurance (P. Picard)" to follow the course " Microeconomics (L. Wilner)".
For students who are not from the second year of ENSAE, it is strongly recommended to those who want to take the course "Advanced Machine Learning (V. Perchet)" to follow the course "Introduction à l'apprentissage statistique (C. Butucea)".
For students who are not from the second year of ENSAE, it is strongly recommended to those who want to take the course "Pricing and hedging of financial derivatives (P. Tankov)" to follow the course "Introduction to Mathematical Finance (I. Kharroubi)".
For students who are not from the second year of ENSAE, it is strongly recommended to those who want to take the course "GARCH and stochastic volatility models (C. Francq) " to follow the course "Time Series (F. Violante)".

List of Courses

- Mathematical Statistics (G. Lecué)

- Time Series (F. Violante)

- Introduction to Mathematical Finance (I. Kharroubi)

- Financial instruments (A. Chaix)

- Introduction à l'apprentissage statistique (C. Butucea)

- Macroeconomics* (J. Trinh)

- Microeconomics* (L. Wilner)

* A course in "Macroeconomics" and a course in "Microeconomics" are required to be accredited as an actuary by the French Institute of actuaries. The Ensae students who have already validated such modules during their second year do not have to validate the corresponding "refresher courses".

For more information about the current health situation please consult https://www.ensae.fr/info-coronavirus/

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