Mathematics of Insurance, Economics and Finance (MASEF) - Master's Year 2

Program Year

UE Obligatoires

  • A review of probability theory foundations
  • Stochastic Calculus
  • Stochastic Control
  • Monte-Carlo and Finite Differences Methods with Applications to Finance

UE Optionnelles

  • Machine Learning in finance
  • Continuous Optimization
  • Valuation of financial assets by absence of arbitrage
  • Jump processes
  • Game theory, applications in economics and finance
  • Macro-économiques et gestion de portefeuille
  • Computational methods and MCMC
  • Term Structure and Commodity Derivatives Markets
  • Derivative products in finance and insurance

UE fondamentale

Bloc 1 : Apprentissage pour l'économie et la finance

  • Rough volatility, microstructure and statistical modelling
  • Renforcement Learning
  • Python/Pytorch project

Bloc 2 : Finance et gestion des risques

  • Gestion globale des risques : VAR
  • Microstructure des marchés financiers
  • Contrôle stochastique et marchés de l'énergie
  • Modélisation stochastique des courbes de taux

Bloc 3 : Economie et jeux

  • Mean field games theory
  • Variational and transport problems in economics
  • Théorie géométrique du contrôle
  • Algèbre tropicale en optimisation et en jeux
  • Managing nature : the case of Fisheries

Academic Training Year 2024 - 2025 - subject to modification

Teaching Modalities

The program starts in September and attendance is required. Some courses take place at ENS or the Sorbonne.

Internships and Supervised Projects

Students must complete an internship of at least four months duration in a company or research center. Students taking Independent Study are exempt.