Statistics, Finance and Actuarial Science

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

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".

Group "Core Courses"

- Discrete time financial 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) 3 ECTS (Sem1)

- Pricing and hedging of financial derivatives (R. Elie) 5 ECTS (Sem1)

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

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

Elective Courses

In addition, the students are advised to validate at least one course in each of the following groups of courses. 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.

Group "Actuarial Science"

- Actuarial study of non-life insurance (C. Dutang) 3 ECTS (Sem1)

- Actuarial study of life insurance (S. Loisel, M. Chauvigny, and A. Boumezoued) 3 ECTS (Sem1)

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

- 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 Series"

- High frequency data and order books (I. Muni Toke) 3 ECTS (Sem2)

- Physics of financial markets (D. Challet) 3 ECTS (Sem1)

- Algorithmic trading (O. Guéant) 3 ECTS (Sem1)

- Phenomenology and modelling of financial markets (M. Benzaquen) 3 ECTS (Sem1)

- Hidden variable dynamic models (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)

- Portfolio Management (G. Rabault) 3 ECTS (Sem1)

- Stochastic calculus (F. Russo) 5 ECTS (Sem1)

- Levy processes and financial applications (A. Popier) 3 ECTS (Sem2)

Group "Risks in finance and insurance"

- Energy risk modelling (P. Tankov) 2 ECTS (Sem1)

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

- Credit derivatives (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) 3 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) 3 ECTS (Sem1)

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

- Machine learning for finance (R. Elie) 3 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 2 ECTS in the first semester and 4 ECTS in the second semester.

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).

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 (J.-C. Heam)

- Introduction to Mathematical Finance (I. Kharroubi)

- Financial instruments (A. Chaix)

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

- Macroeconomics* (J. Trinh)

- Microeconomics* (A. Cazaubiel)

* 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".

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