L'année de formation
Knowledge of financial markets (Core fundamental)
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Financial Derivatives
Financial Derivatives
Ects : 3
Compétence à acquérir :
Master the theory of derivatives products and how banks and corporate treasuries use Financial Options 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.
Mode de contrôle des connaissances :
Take home exam : trade idea + VBA programming project
Table exam
Description du contenu de l'enseignement :
Bibliographie, lectures recommandées
Derivatives products, models and uses
To give an all round comprehensive knowledge and understanding of the theory and the day-to-day use of derivatives contracts. aims at “demystifying” key derivatives products, widely used to hedge existing market risks, to speculate on the future movements of market variables or more generally to taylor the return distribution of a portfolio.
John C. Hull: Options, Futures, & Other Derivatives, Prentice Hall
Paul Wilmott: Derivatives: The Theory and Practice of Financial Engineering
Nassim Taleb: Option pricing & dynamic hedging
Natenberg: Option pricing & Volatility
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Fixed income I
Fixed income I
Ects : 3
Compétence à acquérir :
Master Fixed income products, strategies and models.
Description du contenu de l'enseignement :
Fixed Income products, models and uses
To give students a broad understanding of the fixed income products and uses, both qualitatively and quantitatively -
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"Enseignant responsable :
- TAMARA NEFEDOVA
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International finance
International finance
Ects : 3
Volume horaire : 18
Coefficient : 0.5
Compétence à acquérir :
At the end of this module, the student will have a thorough foundation of the key concepts and a solid understanding of selected topics in international finance. In particular, the student (1) will be acquainted with the main theoretical models used to understand FX markets, (2) will be able to understand the impact of economic events on currencies, (3) will be able to explain how FX markets actually work in practice, and (4) will be familiar with the basics about currency trading.
Description du contenu de l'enseignement :
- Foreign Exchange Market Structure
- Real Exchange Rate and Purchasing Power Parity
- Exchange Rate Determination
- Currency Risk Management and Hedging InstrumentsEnseignant responsable :
- EVGENIA PASSARI
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Investment and capital markets
Investment and capital markets
Ects : 6
Volume horaire : 36
Coefficient : 1
Compétence à acquérir :
Course objectives:
To understand the functioning of markets, trading costs, and liquidity
To understand the concepts of risk, diversification, and portfolio theory
To understand asset pricing models
To understand the incorporation of information into prices and how prices behave in efficient markets
To understand how to use asset pricing models for fund performance evaluation, firm valuation, and investment decisions
Pré-requis recommandés :
Though there will be brief reminders during the classes of the mathematical and statistical tools that are needed to understand the various concepts used in the course, students must have some prior knowledge of the following concepts: calculus (derivatives, Taylor expansion), probability (discrete and continuous variables, moments, covariance, correlation), statistics (sample estimators, linear regression), linear algebra (matrix operations) and optimization (Lagrangian).
Description du contenu de l'enseignement :
Bibliographie, lectures recommandées
Agenda
Part 1: Stock exchanges, the organization of trading and trading costs
Part 2: Return, risk and portfolio theory
Part 3: Attitude towards risk and asset pricing models
Part 4: Informational efficiency
Part 5; Practical applications of asset pricing models
Berck K. and P. De Marzo, “Corporate Finance”, 4th edition, Pearson
Enseignant responsable :
- FABRICE RIVA
Modelling of financial Markets (Core fundamental)
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Financial Econometrics I
Financial Econometrics I
Compétence à acquérir :
Theoretical and practical knowledge of linear regression models estimation technics. Being able to set up an econometric analysis.
Description du contenu de l'enseignement :
Simple and multiple linear regression models, inference and diagnotic tests
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 -
Derivatives pricing & Stochastic calculus I
Derivatives pricing & Stochastic calculus I
Ects : 3
Compétence à acquérir :
Master regulation historical evolution, ethics problems in financial markets and their consequences on the recent codes of conduct, and the main compliance concepts applied in a Corporate& Investment Bank
Description du contenu de l'enseignement :
Regulation today, Ethics, Codes of Ethics and codes of conducts, welknown financial markets problems analysis, compliance in corporate an investment banks todays
Understand the importance of regulation, the basis, the importance of ethics, compliance and professional standards when conducting business in the financial sector.
Professional competencies (Core fundamental)
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VBA Programming
VBA Programming
Ects : 3
Compétence à acquérir :
Master VBA programming of basic derivatives pricing models
Description du contenu de l'enseignement :
VBA programming
To learn a wide range of derivatives pricing algorithms, from the modeling techniques to practical applications using VBA in Excel. -
Careers in Finance
Careers in Finance
Ects : 3
Compétence à acquérir :
The objective of the course is to prepare students to recruitment processes in Financial services. The first part concerns the graduate assessment process. It is followed by mock interviews. It is completed by a "financial markets" seminar that contains testimonials from former students from the master 203 who will come to share their experiences.
Description du contenu de l'enseignement :
Graduate Assessment Process :
description of recruitment process in Financial Services
Competency-Based Interviews
Assessment Centers, ...
Mock Interviews (interview training): A 3 minute pitch (to tell who you are and
why you are the perfect candidate for a specific position) followed by Q&A
and feedbacks
Financial market seminar: 1 hour presentations by professionals -
Ethics, Prof.standards & Compliance
Ethics, Prof.standards & Compliance
Ects : 3
Compétence à acquérir :
Deep understanding of careers, opportunities and recruitment processes
Description du contenu de l'enseignement :
Financial markets jobs and careers, recruitment hubs in financial markets, recruitment procsses
Learn what are the different jobs and careers in the finance industry, prepare students to the recruitment process (CV, motivation letters, mock interviews)Enseignant responsable :
- CLAIRE PORZIO
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Training for Interviews in English
Training for Interviews in English
Ects : 3
Compétence à acquérir :
Understanding the expectations of international recruiters, themselves and the body langage.
Description du contenu de l'enseignement :
Presentation of themselves, interview preparation
To improve the students' fluency in English but also to explore the attitudes and expectations of a cross-cultural American and English job interview in finance. Rather than inculcating a litany of identical and stereotypical answers to interview questions, it will focus on revealing the personality and character of the candidate
Professional competencies (Core fundamental)
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Internship
Internship
Ects : 6
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Master Thesis
Master Thesis
Ects : 24
Formation année universitaire 2021 - 2022 - sous réserve de modification
Modalités pédagogiques
L’équipe enseignante utilise toutes les méthodes et pratiques d’enseignement : le cours avec travaux dirigés, l’étude de cas, les « teaser » au début des cours, le projet, le projet transversal, le hackathon, le mémoire, la présentation orale, la préparation aux entretiens etc.
Le parcours est principalement un programme en 2 ans (M1 – M2) mais il est également accessible aux étudiants titulaires d’une 1ère année de master en Economie, Finance, Mathématiques ou équivalent. Ces étudiants suivent alors le programme en 1 an et commencent directement au niveau M2. Les étudiants qui ont été recruté en 2ème année de master ces dernières années avaient tous fait un stage en front office.
Le programme en 2 ans est constitué de 3 semestres de cours, de deux stages de 4 à 8 mois ainsi que d’un mémoire de master. Le programme en 1 an prévoit deux semestres de cours ainsi qu’un stage de 4 à 8 mois.
- 1er semestre – septembre à Janvier : Enseignements fondamentaux
- 2nd semestre – janvier à septembre : Stage et mémoire de master
- 3e semestre – septembre à Janvier : Enseignements avancés et enseignements optionnels
- 4e semestre – février à avril : Enseignements avancés et enseignements
- Stage de fin d’étude – mai à novembre
Stages et projets tutorés
Un stage de 4 mois est obligatoire à partir de mi-janvier jusqu’à fin août.
L'équipe pédagogique
Kaiza Amouh
Quantitative Associate, Natixis CIB, Paris
Cours : Programmation en VBA & Finance numérique
Graduated from Ecole Polytechnique, Kaiza holds a master's degree in Computational Finance from Lille 1 University and a DEA of Probability and Finance from Paris 6. He also holds a certificate of Data Science from the Massachusetts Institute of Technology.
After working as a Quant in the ALM department at Société Générale Insurance, he joined Natixis CIB in 2015 as a Quantitative Associate in charge of pricing models development for Interest Rate exotic derivatives.
Since 2019, he is the Head of Linear Rates & Credit Derivatives within the R&D department of Natixis CIB.
Guillaume Andrieux
Quantitative researcher, Man AHL, London
Cours : Evaluation de dérivés et calcul stochastique 1
Guillaume joined Man AHL in 2017. Before that, Guillaume was an Analyst at Nomura in the Quantitative Investment Strategy team in the Fixed Income division. He is in charge of developing and implementing systematic strategies on this market. Guillaume holds a Master in Financial Markets from Dauphine University, Paris IX (Master 203) and a Master in Stochastic Modelling from Denis Diderot University, Paris VII.
Helen Einsargueix
Consultant in Organisation and Project Management , HSX Consulting
Cours : Préparation aux entretiens en anglais
Organizational consultant, specializing in project and program management in several areas of functional expertise including finance, insurance, pension and industry. Clients include BNPParibas, Société Générale, HSBC, CACIB, AXA IM, CARDIF, CNP Insurance, DHL, Servier. Expertise in strategy, organization, program management, project portfolio management, audit, budget, governance, change management, methodology and Human Resources. Latest achievements include roll-out of a strategic re-organisation in Eastern Europe, implementation of Agile (scrum and kanban) methodology on an international scale, migration of a global bond infrastructure to Bloomberg trading platform, creation of an automated brokerage confirmation target process worldwide, and deployment of regulatory requirements such as MIFID II, Solvency II, and GDPR.
Aymeric Kalife
CEO, iDigital Partners, Adjunct Professor, Université Paris - Dauphine
Cours : Produits Dérivés & Finance durable
Graduate from HEC, Science-Po and ENSAE, Aymeric holds a mathematical finance Ph.D from Dauphine University & ESSEC. Rates derivatives quant at ABN AMRO then on commodities derivaties at EDF, he has worked as an hybrids derivatives structurer at Merrill Lynch, then as a volatility strategist at Deutsche Bank. He then joined AXA for 11 years where he subsequently held the positions of Deputy Chief Risk Officer at AXA Hedging Services, “Head of "Structuring, Hedging, Modelling", "Global Head of Unit-Linked Guaranteed Products" and “Global Head of Savings & Group Deputy Life Chief Actuary” at AXA Group. He is now the founder and CEO of iDigital Partners, specialized in Investments advisory while leveraging on digital technologies. He is also adjunct professor at Université Paris - Dauphine since 2012.
He teaches finance at Dauphine University and HEC Paris, and his research interests are in hedging market liquidity risk for flow and structured products, Variable Annuities product design and hedging strategies, and the modelling of insurance products policyholders’ behaviour.
Gaëlle Le Fol
Professor in Finance, Head of the Master 203, Université Paris - Dauphine
Cours : Introduction à l'économétrie de la finance, Careers in Finance & Marchés électroniques
Gaëlle Le Fol is Professor of Finance at Paris – Dauphine and Resarch Fellow at the CREST (Centre de Recherche en Economie et Statistique). She is an economics and econometrics graduate from the University of Paris 1 Panthéon – Sorbonne and holds a Ph.D in Economics from Paris 1 University. Before joining the Université Paris-Dauphine, Gaëlle Le Fol was an Assistant Professor (Maîtres de Conférence) at the University of Paris 1 Panthéon – Sorbonne (1999-2002) and a Professor of Economics at the University of Angers (2002-2006) and the University of Evry (2006-2010).
Her research interests are in financial market microstructure and financial econometrics. Her recent research has included investors behaviors and their impact on the trading characteristics, market liquidity, contagion and systemic risk as well as high frequency algorithmic trading. She teaches financial econometrics and electronic markets.
Arnaud Levy-Rueff
Managing partner, ExotikEquation
Cours : Titres à revenu fixe 1
Arnaud has been involved in financial markets since 1995.
Over the years, he has been trading and managing trading desks for banks (Societe Générale) and hedge funds ( Millennium Partners), specializing successively in option market-making, fixed income relative value and quantitative equities. He now manages ExotikEquation, a scientific financial consulting company.
Arnaud graduated from Ensae with majors in statistics, economy and finance. He is a member of the French Institute of Actuaries which awarded him the first prize for the best Actuary thesis.
Evgenia Passari
Assistant Professor in Financial Economics, Université Paris - Dauphine
Cours : Finance Internationale
Evgenia Passari is an Assistant Professor in Financial Economics at Université Paris-Dauphine.
She holds a BS.c. in Banking & Financial Management from the University of Piraeus, Greece, an MS.c. in Economics & Finance from Warwick Business School, and a Ph.D. in Finance from Cass Business School, London. Before the completion of her doctorate in 2013 she worked in the research departments of Société Générale and Goldman Sachs, while from 2012 to 2014 she was a Research Fellow in the Economics Department of London Business School.
Evgenia’s research work has focused on international finance, empirical asset pricing and political economy and has been published in the Economic Journal and in the Brooking's Papers on Economic Activity.
Her research has been recognised with the 2017 Fondation Banque de France/ILB Young Researcher in Economics Prize.
Claire Porzio
Compliance Officer / Financial Security – AML/CFT, Crédit Agricole SA Group
Cours : Ethique, normes professionnelles et conformité
Claire Porzio graduated from a Master’s degree in Financial Criminal Law and has over 5 years of experience in Compliance functions: she currently works within the team in charge of preventing money laundering and terrorism financing for the Crédit Agricole SA Group. The team’s main mission is to define Group policies and procedures related to AML/CFT, as well as supporting Group entities with the effective implementation of applicable standards.
She previously worked in the Financial Security Department of Crédit Agricole Assurances and was in charge of investigating cases and sending suspicious transaction reports to the French Financial Intelligence Unit (Tracfin).
Claire is involved in many subjects related to training within the Crédit Agricole Group and is also involved in the Master's degree in Financial Criminal Law from the University of Cergy Pontoise in partnership with the Essec Business School.
Nicolas Raymond
Compliance Officer, Group Compliance, Crédit Agricole Group
Cours : Ethique, normes professionnelles et conformité
Nicolas RAYMOND has more than 5 years’ experience in compliance functions : he is currently working in the Fraud and Corruption Prevention team within the Credit Agricole SA’s Group Compliance. Prior to that, he was working on US regulations monitoring (BHCA and Volcker Rule) within the Credit Agricole SA’s Group Compliance.
Nicolas RAYMOND graduated from Montpellier I University, major in Management.
Zhenjie Ren
Maître de conférence, , Université Paris-Dauphine
Cours : Evaluation de dérivés et calcul stochastique 1
After graduating from the Master 2 programme ‘Probability and Finance’ organised by Ecole Polytechnique and Paris VI University, Zhenjie Ren obtained a PhD on the applied mathematics in Ecole Polytechnique. His thesis and the following researches focus on stochastic analysis, stochastic control, numerical solutions and the applications in financial mathematics and economy.
He is Maître de Conferences (Assistant Professor) at University Paris-Dauphine and member of the CEREMADE laboratory.
Fabrice Riva
Professor in Finance, Université Paris - Dauphine
Cours : Investissements et marchés financiers
Fabrice Riva, PhD, Professor at Université Paris-Dauphine and a Research Fellow at DRM Finance (CNRS, UMR 7088). He teaches finance at both undergraduate (investments and financial markets, financial modeling) and graduate (market microstructure, event studies) levels.
His research focuses on market microstructure. In particular, he is interested on the role of frictions for capital market equilibrium. He has published several articles in international refereed journals. He is also the author of the textbook "Applications Financières sous Excel en Visual Basic".
Nadia Tortel-Ubaysi
Global Head of Talent, Candriam, Paris
Cours : Careers in Finance
A French national born and raised in the middle east, Nadia graduated in 1994 from Dauphine University in Paris with a Master's degree in Financial Markets (DESS 203). She also holds a MIAGE (Maîtrise d'Informatique Appliquée à la Gestion d'Entreprise) from Dauphine University.
She began her career in 1994 at AXA Asset Management, as a Fixed income portfolio manager.
She then moved to Robeco Gestions and participated in setting up the French asset management activity in Paris.
In 1999, she joined Singer & Hamilton as a Consultant, became a Partner in 2002, and Managing Partner in 2011, during 16 years in charge of capital markets and asset management practices.
Since 2016, Nadia is Candriam's Global Head of Talent.
Des programmes nourris par la recherche
Les formations sont construites au contact des programmes de recherche de niveau international de Dauphine, qui leur assure exigence et innovation.
La recherche est organisée autour de 6 disciplines toutes centrées sur les sciences des organisations et de la décision.
En savoir plus sur la recherche à Dauphine