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

Syllabus

UE Obligatoires S3

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

UE Optionnelles S3

  • Computational methods and MCMC
  • Continuous Optimization
  • Derivative products in finance and insurance
  • Game theory, applications in economics and finance
  • Machine Learning in finance
  • Macro-économiques et gestion de portefeuille
  • Term structures: interest rates, commodities and other assets
  • Valuation of financial assets and arbitrage

UE fondamentale S4

Bloc 1 : Apprentissage pour l'économie et la finance

  • Python/Pytorch project
  • Reinforcement Learning

Bloc 2 : Finance et gestion des risques

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

Bloc 3 : Economie et jeux

  • Managing nature : the case of Fisheries
  • Mean field games theory
  • Variational problems and optimal transport

Academic Training Year 2025 - 2026 - 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.