Statistics, Finance and Actuarial Science

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

Schedule

Your schedule will depend on your choice of courses. You will have to choose at the beginning of the semester. The schedule will be displayed on the ENSAE intranet, but you can find here a preliminary version for the 1st semester : Schedule

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".

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.
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) 5 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)

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)

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 (Sem1)

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

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

- Forecast Evaluation and Model Selection (F. Violante) 3 ECTS (Sem2)

Group "Mathematical Finance"

- Numerical methods in financial engineering (S. Crépey) 3 ECTS (Sem2)

- Econometrics of Commodity and Asset Pricing (A. Monfort) 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 (Sem2)

- 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 (O. Lopez) 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) 4 ECTS (Sem2)

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

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/

Haut de page