Statistical and Financial Engineering - Master's Year 2

Students who hold the following qualifications are eligible to apply:

• A bachelor's degree in applied mathematics and 60 ECTS credits
• A first year of a master's degree in applied mathematics with sufficient knowledge of statistics and/or finance, an engineering degree, or equivalent qualifications.

Admissions are decided by an Admissions Committee composed of faculty members from Paris Dauphine University - PSL and external experts. The review of applications may include oral interviews with candidates. Students wishing to enroll in the master's program must submit an application before the deadline set by the MIDO department.

Prerequisites:

The recommended level is that of a first year of a Master's degree in applied mathematics with basic training in statistics (data analysis, statistical inference, linear models) and computer science (routine use of a PC, office software, programming, software such as SAS, R, Python, etc., basic knowledge of relational databases). Basic knowledge of finance is required for the "finance" track (financial mathematics, concepts of corporate and market finance, portfolio theory, derivatives).

The recommended level in probability and statistics is that of books such as:

• Azaïs, J.M. and Bardet, J.M. Le modèle linéaire par l'exemple. Dunod, 2005.
• Bickel, P.J. and Doksum, K.A. Mathematical Statistics: Basic Ideas and Selected Topics, Prentice Hall, 2000.
• Cornillon, P.A. and Matzner-Lober, E. Régression - Théorie et applications, Springer, 2007.
• Dacunha-Castelle, D. and Duflo, M. Probabilities and Statistics. Masson, 1997.
• Rivoirard, V. and Stoltz, G. Statistics in Action, Vuibert, 2009.
• Saporta, G. Probabilities, Data Analysis and Statistics, Technip, 1990.
• Tenenhaus, M. Statistics - Methods for Describing, Explaining and Predicting. Dunod, 2007.
• Wasserman, L. All of Statistics. A Concise Course in Statistical Inference, Springer, 2005.

The recommended level for the finance track is that of works such as:

• Chazot, C., Claude, P., Swaps: Concepts and Applications, Economica, 1994.
• Hull, J., Options, Futures, and Other Derivatives, Prentice Hall, 2004.
• Poncet, P., Financial Mathematics, Dalloz, 1993.
• Simon, Y., D. Lautier, Commodity Derivatives Markets and Price Risk Management, Economica, 2001.
• Viviani, J.L., Portfolio Management, Dunod, 2001.
• Sharpe, W.F., Investments, Prentice Hall, 1999.

There are two stages to the admissions process:

• An online application on Mycandidature
• Determination of eligibility for interview based on submitted application