Stochastic modelling lies at the heart of the main challenges financial and insurance institutions are faced with: setting of asset allocations or trading strategies, evaluation of the risks that are embedded in some portfolios of assets, retrieving information about customer needs and wishes, evaluation of ruin probabilities, the likelihood of failures to pay, prepayments, natural catastrophes, etc. In other words, applications of the statistical paradigm are multiple in finance and insurance, because past events and historical data are highly valuable to evaluate current and future risks.
Therefore, the main objective of this master will be to transmit the cutting-edge techniques, theories and practical tools, towards applications in finance and insurance or a research career (in the academic world or in the industry).
The modelling of financial series with be central inside the curriculum: high/medium/low frequency time series, univariate and multivariate models, in discrete or continuous time. There will be a particular focus on nonlinear models. Moreover, the statistical analysis of joint financial risks, their measures, extreme value theory, will provide students a strong background on the quantitative side of risk management. Thanks to the recent advances of datamining and learning theory, they will be able to extract highly valuable information, even from poorly structured data. This has become a key challenge for financial institutions today. For those who are interested in actuarial science, many theoretical and more applied courses will be offered, providing a very strong background in such a field: life and non-life insurance, duration models, advances of data science, regulation etc.
Our students may have the opportunity to obtain the accreditation as an actuary by the French Institute of actuaries, once they have validated a subset of specialized courses imposed by the Institute.
The main families of models that will be taught in the master can be applied in numerous fields of finance or insurance. Indeed, they seek to reveal the underlying dynamics and/or risks of financial variables in a sophisticated but realistic way. In general, such models will be estimated from historical data, but some of them could be calibrated to some quotes of financial products too. Actually, both approaches are complementary.
Beside a very high-level curriculum in statistics/econometrics, the students will receive a strong background in stochastic finance and/or actuarial science. Therefore, some musts as stochastic calculus, the "Black-Sholes model", or inter-temporal asset allocation programs are part of the program. Finally, some lectures will be devoted to the description and the understanding of the main asset classes and financial products.
Moreover, the students will take part in some seminars that will be organized by some professionals who are working in financial institutions. There, the currently most strategic topics in quantitative finance and actuarial studies will be presented to the students. Therefore, they will be aware of diverse topics and opportunities, clearly precious elements for professional guidance.