Schedule
You will find a provisional version of the first semester schedule here.
The timetable will be available on the software Pamplemousse at the end of August.
You will 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"
- Advanced Machine Learning (V. Perchet) 4 ECTS (Sem1)
- Financial Econometrics (J.-M. Zakoian) 4 ECTS (Sem1)
- Financial time series (F. Roueff) 5 ECTS (Sem1)
- Foundations of Risk Management (I. Toder & J.-F. Chassagneux) 3 ECTS (Sem1)
- Pricing and hedging of financial derivatives (P. Tankov) 4 ECTS (Sem1)
- Applied Statistical Learning (A. Dalalyan) 4 ECTS (Sem1)
- Extreme-value theory (O. Lopez) 2 ECTS (Sem2)
- GARCH and stochastic volatility models (C. Francq) 3 ECTS (Sem2)
- Statistics of diffusion processes (A. Gloter) 4 ECTS (Sem2)
Additional Core Courses for Actuaries
The courses in this group, as well as a number of courses in other groups, are compulsory for students wishing to become actuaries recognized by the French Institute of Actuaries. These courses can also be freely chosen by the other Master students. Since the French Institute of Actuaries requires a basic level of French, some of these courses are taught in French.
Group "Actuarial Science"
- Actuarial study of life insurance (S. Loisel, M. Chauvigny, O. Lopez, and A. Boumezoued) 4 ECTS (Sem1)
- Mathematics for damage insurance: theory and practice (N. Baradel) 4 ECTS (Sem1)
- Microeconomic theory of insurance (J.-M. Bourgeon) 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)
- Portfolio management and Asset and Liability Management (J.-D. Fermanian, A. Adam) 2 ECTS (Sem2)
- General concepts in law and introduction to banking law (F. Mekoui) 2 ECTS (Sem2)
We ask students to take at least one course from each of the following four groups of courses in order to explore a wide range of topics in depth. These courses are taught in English.
Elective Courses
Group "Financial Time Series"
- Digital Finance: Cryptocurrencies and Blockchains (J. Prat) 3 ECTS (Sem1)
- Dynamic models with latent variables (J.-M. Zakoian) 2 ECTS (Sem1)
- Physics of financial markets (D. Challet) – course location: Centrale 3 ECTS (Sem2)
- Algorithmic trading (O. Guéant) 3 ECTS (Sem2)
- High frequency data and order books (I. Muni Toke) – course location: Centrale 3 ECTS (Sem2)
- Mathematical finance in discrete time (L. Carassus) – course location: Centrale 3 ECTS (Sem2)
Group "Mathematical Finance"
- Dynamic optimization and reinforcement learning (R. Dumitrescu) 3 ECTS (Sem1)
- Stochastic calculus (F. Russo) – course location: ENSTA 5 ECTS (Sem1)
- Econometrics of Commodity and Asset Pricing (F. Pegoraro) 3 ECTS (Sem2)
- Interest rate curve models (C. Hillairet, A. Chaix) 3 ECTS (Sem2)
- Levy processes and financial applications (T. Deschatre, A. Gruet) – course location: ENSTA 3 ECTS (Sem2)
- Numerical methods in financial engineering (J.-F. Chassagneux) 4 ECTS (Sem2)
- Portfolio management and Asset Liability Management (J-D. Fermanian & A. Adam) 4 ECTS (Sem2)
Group "Risks in finance and insurance"
- Copulas and financial applications (J.-D. Fermanian) 3 ECTS (Sem1)
- Green finance: Risk and Portfolio Management (T. Roncalli & P. Tankov) 3 ECTS (Sem1)
- Marché de l'électricité (A. Goupy) – course location: ENSTA 3 ECTS (Sem2)
- Modeling and managing energy risks (P. Tankov) 2 ECTS (Sem1)
- Risk measures (C. Francq) 2 ECTS (Sem1)
- Risk theory (T. Lim) 2 ECTS (Sem1)
- Green finance: Core Notions (O. D. Zerbib) 3 ECTS (Sem2)
- Credit risk (C. Hillairet) 3 ECTS (Sem2)
- Extreme-value theory (O. Lopez) 3 ECTS (Sem2)
- Risk management and reinsurance (P. Lacoste) 2 ECTS (Sem2)
- Valorisation de produits dérivés en présence de courbes de taux multiples (T. Bourdais) – course location: ENSTA 3 ECTS (Sem2)
- Risque de crédit : approches pratiques (S. Lahdachi) – course location: ENSTA 3 ECTS (Sem2)
Group "Statistics and Machine Learning"
- Hidden Markov models and Sequential Monte-Carlo methods (N. Chopin) 3 ECTS (Sem1)
- High-dimension statistics (E. Chzhen) 4 ECTS (Sem1)
- Machine Learning for Climate Risk (A. Ocello) 2 ECTS (Sem1)
- Machine Learning for portfolio management and trading (S. Champonnois) 2 ECTS (Sem1)
- Generative AI for insurance and actuarial studies (A. Ocello) 3 ECTS (Sem2)
- Machine learning in finance: Theoretical foundations (J.-D. Fermanian & H. Pham) 3 ECTS (Sem2)
- Online learning and aggregation (A. Tsybakov) 3 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"
English M2 Public Speaking (on Wednesday afternoon) 3 ECTS (Sem1)
Français langue étrangère (please contact langues@ensae.fr) 3 ECTS
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.
Professional Seminars
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 (P. Poulon)".
List of Courses
- Mathematical Statistics (G. Durand)
- Time Series (P. Poulon)
- Introduction to Mathematical Finance (I. Kharroubi)
- Financial instruments (A. Chaix)
- Introduction à l'apprentissage statistique (C. Butucea)
- Macroeconomics* (F. Malherbet)
- 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".
Possibility of PhD
At the request of students, an information meeting on the possibility of doing a thesis at the CREST laboratory can be organized towards the end of the first semester.
Doctoral Courses
Students have the opportunity, if they wish, to take one or two doctoral courses given by researchers visiting CREST. Each course is graded on the basis of a project. This year we have the following program.
List of Courses
TBD