Research in Finance - 104 - 2nd year of master's degree

Program Year

LEVELLING COURSES

  • Python for finance

    Python for finance

    Compétence à acquérir :
    Mastering the structure of the Python language, a good knowledge of the most important libraries for financial applications (Numpy, Matlplotlib, Scipy, Pandas), and some of the available interfaces (Python Notebook).

    Description du contenu de l'enseignement :
    Data structures, program structures, and the main important packages for finance in Python
    Use the Python langage for the programmation of financial models, for the analysis of financial data, and for the vizualisation of these data

  • Fundamentals in Corporate Finance

    Fundamentals in Corporate Finance

    Compétence à acquérir :
    Assessing Company Financial Health, Being able to value quickly a company , Being able to evaluate large long term projects, Appreciate the capital structure of a firm

    Description du contenu de l'enseignement :
    Financial Statement Analysis, Valuation (of a company or a project), Financing Decision
    Be able to evaluate and to make major corporate finance decisions. This course is an introduction to the course "Corporate Finance"

  • Monte Carlo Simulations in finance - MathLab

    Monte Carlo Simulations in finance - MathLab

    Compétence à acquérir :
    Mastering the Matlab software; being able to write a simple program in Matlab, to run optimization procedures, and to manipulate financial data

    Description du contenu de l'enseignement :
    Introduction to the Maltlab langage and the most important toolboxes for financial applications
    Use the MathLab software and langage for the valuation of the most important derivative instruments, for portfolio optimization and for numerical simulations

  • Financial econometrics 1

    Financial econometrics 1

    Compétence à acquérir :
    This course is an introduction and/or refresher course in Econometrics that focuses on techniques for estimating regression models, on problems commonly encountered in estimating such models, and on interpreting the estimates. The goal is to provide participants with the basic skills and knowledge necessary to undertake empirical research and to prepare them to the advanced course in Econometrics of Financial Markets. If Gretl will be the econometric software used in the course, it is possible to use R.

    Description du contenu de l'enseignement :
    The objective is to know and understand econometrics as well as the operational implementation on the free software Gretl or R. If some theoretical aspects are studied, the focus is more on the acquisition of a scientific approach.

    How to build an econometric model and how to use it?
    The (simple and multiple) linear regression model
    Inference, hypothesis testing and prediction
    Specification and diagnostic testing (heteroskedasticity, autocorrelation, model specification)
    Selection criteria

  • DIGITAL Finance

    DIGITAL Finance

FUNDAMENTAL COURSES

  • Game theory

    Game theory

    Ects : 6

    Description du contenu de l'enseignement :
    Game Theory, Equilibrium, Rationality

  • Finance in continuous time 

    Finance in continuous time 

    Ects : 6
    Compétence à acquérir :
    In the end of this course, the students must be comfortable with: i) Basic concepts of contingent claims, ii) the binomial model; iii) stochastic integrals and Itôs calculus; the Black and Scholes model

    Description du contenu de l'enseignement :
    Asset pricing, contingent claim, stochastic process,
    brownian motion, Itô's formula, optimal stopping time.
    This course is an introduction to "Derivative pricing and stochastic calculus II". It introduces the standard concepts and tools allowing to
    understand arbitrage theory in continuous-time. The requirements from
    probability theory are made as basic as possible to make the lectures
    accessible to studends without a strong background in applied
    mathematics.

  • Derivative Pricing and Stochastic calculus II

    Derivative Pricing and Stochastic calculus II

    Ects : 6
    Compétence à acquérir :
    The lecture starts with discrete time models which can be viewed as a proxy for continuous settings. We then develop on the theory of continuous time models. We start with a general Itô-type framework and then specialize to different situations: Markovian models, constant volatility models, local and stochastic volatility models.For each of them, we discuss their calibration, and the valuation and the hedging of different types of options : plain Vanilla and barrier options, contracts on future, American options, options on foreign markets, options on realized variance, etc.

    Description du contenu de l'enseignement :
    Advanced derivative pricing and stochastic calculus.
    This course requires that the students have validated the course "Finance in continuous time". Its gives more insights into the theory of derivative asset pricing as well as the main models and techniques used in practice.

  • Corporate finance

    Corporate finance

    Ects : 6
    Compétence à acquérir :
    Being able to understand the behavior and the strategies of the different stakeholders of the firm; to have a good knowledge of issuance technics and issues, and of corporate social responsabilities.

    Description du contenu de l'enseignement :
    Initial Purchase Offerings, Capital structure of the firm, Issuance of Stocks and Bonds, Internal control and corporate governance, payout policy and corporate social responsibility.
    Understanding the fundations and the logics of the main financial decisions. This course requires that the students have validated the course "Fundamentals of corporate finance"

  • Asset pricing

    Asset pricing

    Ects : 6
    Compétence à acquérir :
    Master the theoretical concepts of asset pricing

    Description du contenu de l'enseignement :
    In this course, we will discuss a wide range of topics ranging from no arbitrage, state prices, consumption-based asset pricing, and factor models.
    Course structure:

    Decision Making under Uncertainty
    Consumption-based Asset Pricing
    Arbitrage Pricing
    Mean-Variance Analysis and the CAPM
    Factor Models
    Estimation and Evaluation of Asset Pricing Models
    Dynamic Asset Pricing

    If time permits we will cover other topics such as Production-based Asset Pricing, Asymmetric Information, Limits to Arbitrage, etc.

  • Management of Credit Risk : Theory and applications

    Management of Credit Risk : Theory and applications

    Ects : 6
    Compétence à acquérir :
    A broad knowledge in the modelisation of Credit Risk and its appliations as well as the mastering of the eventual underlying derivative products

    Description du contenu de l'enseignement :
    Modelisation of Credit Risk: reduced form models, structural models. Application to the valuation of credit linked securities and derivatives
    Being able to use and compare the two different modeling frameworks in the field of credit risk.

  • Term structures : theory, models and empirical tests

    Term structures : theory, models and empirical tests

    Ects : 6
    Coefficient : 1
    Compétence à acquérir :
    This course in a introduction to the methodology of the research through the prism of prices curves. It presents the theories, their empirical implications, the methodological issues associated with empirical tests, and empirical tests. The course is centered on commodities, with generalization to other assets (more specifically, interest rates).

    Description du contenu de l'enseignement :
    At the end of this course, the students must have a broad knowledge about the term structures of derivative prices: the theories, the valuation methods, the econometric techniques, the empirical tests as well as the applications.

SEMINARS

  • Regulation and financial Markets

    Regulation and financial Markets

    Ects : 3
    Compétence à acquérir :
    Master the regulatory prudential and market reforms, at the global level and across regions

    Description du contenu de l'enseignement :
    Financial regulation, prudential regulation around the world, regulation to "too big to fail" banks and fragmented environment
    To give the students an overview of recent and future regulatory prudential and market reforms, at the global level and across regions.

  • Advanced corporate finance

    Advanced corporate finance

    Ects : 3
    Compétence à acquérir :
    The students will master the most recent reserach issues in corporate finance, with specific insights into modelling.

    Description du contenu de l'enseignement :
    Recent developments in the theory of corporate finance
    To follow this course, the students must validate the course "Corporate finance". Course objective : the main objective of the course is to familiarize students with a number of important, recent results and subjects that have been added to the theory of corporate finance. A second important objective is to provide an overview of some of the modelling issues faced and of the methods that are currently employed in the area of corporate finance

  • Structured products in practice

    Structured products in practice

    Ects : 3
    Compétence à acquérir :
    Participants will lear how financial institutions can build and structured products, how they value them, and what they are done for.

    Description du contenu de l'enseignement :
    Structured products, evaluation and control.
    This course is an initiation to new structured products, recently appeared in insurance. It shows how to value such products, and how to control the associated risks

  • Contract theory and Mechanism Design

    Contract theory and Mechanism Design

    Ects : 3

    Description du contenu de l'enseignement :
    Contract theory, auctions, regulation, Mechanism design

FUNDAMENTAL COURSES

  • Microstructure of financial markets

    Microstructure of financial markets

    Ects : 6
    Compétence à acquérir :
    Master the concepts of financial markets microstructure

    Description du contenu de l'enseignement :
    The field of market microstructure combines theoretical modeling, institutional knowledge, and empirical analysis to understand how prices result from the interactions of traders in financial markets. The course aims to acquaint students with (i) the canonical models in microstructure and how they can be adapted to study the effects of recent changes in market structures and trading technologies, and (ii) econometric models used to test the predictions of microstructure models.
    Course structure:

    Trading Mechanisms
    Measuring Liquidity
    Price Dynamics and Liquidity
    Trade Size and Market Depth
    Empirical Analysis
    Limit Order Markets
    Market Transparency
    Liquidity and Asset Prices
    Liquidity and Corporate Finance

  • Fixed income derivatives

    Fixed income derivatives

    Ects : 6
    Compétence à acquérir :
    Participants will learn how banks, portfolio managers and corporate treasuries use rates derivatives alike in the management of risks, for trading, hedging and arbitrage and their role in the day-to-day running of the finances of businesses.

    Description du contenu de l'enseignement :
    Interest rate derivatives, investment and hedging
    The objective of the course is to give an all round comprehensive knowledge and understanding of the theory and the day-to-day use of interest rates derivatives, for both investment and hedging purposes.

  • Information and financial markets

    Information and financial markets

    Ects : 6

SEMINARS

  • Behavioral finance

    Behavioral finance

    Ects : 3
    Compétence à acquérir :
    Relaxing the traditional assumptions of finance models has proved a fruit ful way of understanding financial decision-making and anomalies found in empirical tests.

    Description du contenu de l'enseignement :
    Bevavioral finance, cognitive and social psychology in finance
    Introduce students to this relatively new sub-discipline of finance which incorporates insights from cognitive and social psychology into finance. In the past 20 years behavioral finance has emerged as an important stream of thinking in finance.

  • Portfolio management: strategies and actors

    Portfolio management: strategies and actors

    Ects : 3
    Compétence à acquérir :
    The main chapters of the lectures are: organisation of markets, market microstructure, asset management, risk management for investment banks, structured products, green finance, FinTechs, and regulation. Each chapter illustrates the business models of a fraction of the financial system, from an intermediation perspective.

    Description du contenu de l'enseignement :
    Intermediation and financial markets, green finance, FinTechs, regulation
    This course exposes how the financial system works: the kind of risk transformation it operates, and the way it intermediates risky assets.

  • Machine Learning in Finance

    Machine Learning in Finance

    Ects : 3
    Compétence à acquérir :
    Vapnik Chervonenkis dimension, PAC learning, calibration versus prediction, SVM (Support Vector Machines) classifiers, Mercer's theorem, C-SVMs, mu-SVMs and single class SVMs. Basics of decision trees, random forests and penalized regressions.

    Description du contenu de l'enseignement :
    Methods of Statistical Learning, applied to some financial problems of credit rating, anomaly detection and yield curve approximations

  • Alternative Finance

    Alternative Finance

    Ects : 3
    Compétence à acquérir :
    Knowledge on the modelling methods specific to alternative finance.

    Description du contenu de l'enseignement :
    Products and technics used at the fringe of finance including crowfunding, peer-2-peer finance, shadow banking, Bitcoin, social and environmental impact products
    To propose an out-of the box perspective upon the financial markets and to explore the financial universe beyond the traditional investments like equity, bonds, currency, etc. The course focuses on the products and technics used at the fringe of finance including crowfunding, peer-2-peer finance, shadow banking, Bitcoin, social and environmental impact products.

  • External Governance and Control

    External Governance and Control

    Ects : 3
    Compétence à acquérir :
    Being aware of academic insights on corporate governance and corporate takeovers

    Description du contenu de l'enseignement :
    Contract theory, governance, corporate control
    Acquaint students with academic research on corporate governance and corporate takeovers

METHODOLOGY OF RESEARCH AND PROFESSIONAL SUPPORT

  • Seminar on research methodology

    Seminar on research methodology

    Ects : 3
    Compétence à acquérir :
    In this course, the students learn: i) How to define a research subject; ii) How to select, and use the articles related to their subject, iii) How to organize the content of their Master's thesis, and to write their review of the litterature

    Description du contenu de l'enseignement :
    Methodology in Research and the writing of a Master's thesis
    This course is an introduction to the methodology of reseach through the writing of the Master's thesis

MASTER’S THESIS AND INTERNSHIP

Academic Training Year 2020 - 2021 - subject to modification

Teaching Modalities

The total teaching time is of 320 to 360 hours, from September to April. It is made of 36 hours of levelling courses in digital finance, corporate finance, financial econometrics and programming in Python and Mathlab.

The fundamental courses are taught mainly (but not only) during the first semester. They represent 150 hours, on corporate finance, mathematical finance, derivatives and asset pricing, management of fixed income, game theory, etc.
The specialization seminars are devoted to topics like advanced corporate finance, behavioral finance, alternative finance, machine learning, regulation, etc. They represent 105 hours.

In parallel with these courses, the student will have to write a Master’s thesis in contemporary finance, and organize his personal work time. There are two possible options: the first is to write a research Master’s thesis (this could be the first step towards a doctorate); the second is to write an applied Master’s thesis. In this case it is mandatory to make a 3-months internship.

The program gives students the opportunity to study in English, during the second semester, in one of the following institutions: there is one place at the Bocconi University every two years. There are two places per year at Tilburg University in the MSC “Research in Finance”. Students interested in doing doctorate wil take priority for these places. There are two places at Lugano University (English, Msc in finances or modules at the doctorate level), and two places at HEC Lausanne. Where the number of students wishing to study abroad exceeds the number of places available, priority will be given to those students who have already spent at least on year at Dauphine. Besides, the M2 104 belong to the QTEM network, which give the possibility to study one year abroad.
Finally, the 104 offers, in the beginning of the year, some carreer coaching. It is also possible to obtain a certification by the French Autority of Financial Markets, and by the CFA.

Internships and Supervised Projects

The students will write a Master’s thesis during the year, which will be part of their professional skills. The aim of the Master’s thesis is to produce an original piece of research work on a clearly defined topic within the investigative field of contemporary finance, under the guidance of one of the Masters’ Professors. For students considering a doctoral thesis, the Master’s thesis enables them to get an initial feel for what research involves and is often the foundation for further investigation for a student’s doctorate. For others, the Master’s thesis is a unique opportunity to demonstrate their scientific expertise in the field of finance and experience shows that employers highly value this research approach.

For students who choose the applied research option, the M2 104 includes a 3 months internship which starts in April and is carried out in a financial institution or in the finance department of a firm. Firms which regularly employ interns include: Société Générale, BNP Paribas, CACIB, Dexia Securities, Rothschild, Natixis, Murex, HSBC, Axa, Groupama, Renault, SFR....

The master receives a wealth of internship offers from companies and past Master’s students which helps students find the right internship every year. Past students pursue careers in Risk Management, Asset Management, Financial Research, theGeneral Inspectorate of Finance, Quantitative Research, Capital Market Trading, Trading, Consulting and Academia (French and foreign universities, Frenchgrandes écoles)

 

 

Research-driven Programs 

Training courses are developed in close collaboration with Dauphine's world-class research programs, which ensure high standards and innovation. 
Research is organized around 6 disciplines all centered on the sciences of organizations and decision making. 

Learn more about research at Dauphine