L'année de formation
Mandatory Courses
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Ethics, Prof. Standards & Compliance
Ethics, Prof. Standards & Compliance
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 ad coes 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.Enseignant responsable :
- CLAIRE PORZIO
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Fundamentals in Corporate Finance
Fundamentals in Corporate Finance
Ects : 3
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
Optional Block
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Mergers & Acquisitions
Mergers & Acquisitions
Ects : 3
Compétence à acquérir :
Master usual transaction structures with a special focus on takeover bids and LBO transactions
Description du contenu de l'enseignement :
Mergers and Acquisitions
Give a first overview of Mergers & Acquisitions' issues and practice -
Exotic Options & Structuring
Exotic Options & Structuring
Ects : 3
Compétence à acquérir :
Knowledge in structured products: how to build them (funded, or unfunded), how to hedge them and how to manage the life cycle.
Description du contenu de l'enseignement :
Exotic options, structured products
The course will recall some key elements in fixed income and derivatives to concentrate first on exotic payoffs and then structured products. We will have a review of products from each main asset class. We will learn how to build them (funded, or unfunded), how to hedge them and how to manage the life cycle. -
Financial Markets & the Economy
Financial Markets & the Economy
Ects : 3
Compétence à acquérir :
Master financial en economics environement as well as the interactions between financial markets and the economy
Description du contenu de l'enseignement :
To describe the strong interactions between financial markets and the economy: from the economy towards markets and the reverse. Links between finance and economic policies, as fiscal policy, monetary policy and finance regulation.
Understand the financial and economics environment as well as the interactions between financial markets and the economy: from the economy towards markets and the reverse. Links between finance and economic policies, as fiscal policy, monetary policy and finance regulation. -
Eco & Geo of Energy
Eco & Geo of Energy
Ects : 3
Compétence à acquérir :
Knowledge of the history and evolution of the energy sector and its main drivers.
Description du contenu de l'enseignement :
Economics and geopolitics in the shaping of the global energy map and their impacts
To share with students the combined, yet distinct, importance of economics and geopolitics in the shaping of the global energy map, and how these can in turn trigger long term effects globally on both society and economy as a whole. -
C++ Programming
C++ Programming
Ects : 3
Compétence à acquérir :
Knowledge in C++ programming for finance
Description du contenu de l'enseignement :
C++ language and programming
To be both an introduction to C/C++ and a basic course for whoever want to get an expertise in programming. A special care to practice is taken through solving simple issues C++ as a tool -
Financial Econometrics II
Financial Econometrics II
Ects : 3
Compétence à acquérir :
Master econometrics (static) tools in empirical finance: factor models, risk premia, etc.
Description du contenu de l'enseignement :
Financial Data, Econometrics of Efficient frontier, CAPM to multifactor pricing models estimations
To offer an overview of mostly used econometrics tools and the way these methodologies can be used in empirical finance, both in investment banking and asset management. -
Applied Time Series
Applied Time Series
Ects : 3
Compétence à acquérir :
Master the econometrics (dynamic) tools used in empirical finance
Description du contenu de l'enseignement :
Stationarity, autocorrelation, ARMA models, volatility models (GARCH, Stochastic volatility, Regime switching models ...)
To study the theory, modeling, programming, and interpretation of the major time series modelsEnseignant responsable :
- MABROUK CHETOUANE
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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, and for which we present in detail the theory of arbitrage pricing. 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, local and stochastic volatility models. For each of them, we discuss the valuation and the hedging of different types of options : plain Vanilla and barrier options, American options, options on realized variance, etc. Finally, we present several specific volatility models (Heston, CEV, SABR,...) and discuss their specificities.
Pré-requis obligatoires :
Basic probability theory, stochastic processes (martingales,...), stochastic calculus in continuous time (Brownian motion, Itô formula, Stochastic differential equations)
Description du contenu de l'enseignement :
Bibliographie, lectures recommandées
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.
Bouchard B. et Chassagneux J.F., Fundamentals and advanced Techniques in derivatives hedging, Springer, 2016.
Lamberton D. et B. Lapeyre, Introduction au calcul stochastique appliqué à la finance, Ellipses, Paris, 1999.
Enseignant responsable :
- PAUL GASSIAT
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Python Programming
Python Programming
Ects : 3
Compétence à acquérir :
Knowledge in Python programming for empirical finance
Description du contenu de l'enseignement :
Python in finance : getting data, cleaning data, data vizualisation, econometrics, stochastic processes and finance applications. “scientific libraries” in Python: numpy, scipy, pandas, and matplotlib.
To provide students with the tools for financial data analysis in Python. -
Fixed income I
Fixed income I
Ects : 3
Compétence à acquérir :
Professional knowledge in the Fixed Income field .
Description du contenu de l'enseignement :
Provide students a broad understanding of main Fixed Income concepts, methods and products , both qualitatively and quantitativelyEnseignant responsable :
- ARNAUD LEVY RUEFF
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Financial Econometrics 1
Financial Econometrics 1
Ects : 3
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 -
Derivative Pricing + stochastic calculs I
Derivative Pricing + stochastic calculs I
Ects : 3
Compétence à acquérir :
Deep understanding of probability theory and continuous time processes, allowing for a rigorous understanding of the standard dynamic stock models
Description du contenu de l'enseignement :
Basics of probability theory and continuous time processes, stochastic calculus tools, complete tudy of Black Scholes model and uses
To present the basics of probability theory and continuous time processes, allowing for a rigorous understanding of the standard dynamic stock models. -
Risk Management
Risk Management
Ects : 3
Compétence à acquérir :
Master the issues and tools in risk management
Mode de contrôle des connaissances :
Final Exam
Description du contenu de l'enseignement :
Risk Management, Sensitivities, VaR, Expected Shortfall, Stress testing, Counterparty Risk on Market Operations, Liquidity risk, Basel requirements, multivariate models, Extreme risks
Understanding the main issues and tools in risk management -
Advanced Asset Management
Advanced Asset Management
Ects : 6
Compétence à acquérir :
Master the technics, tools and strategies for alpha extraction
Description du contenu de l'enseignement :
Alpha in quantitative strategies. Alpha extraction tools. Risk premia. Volatility strategies.
To understand what Alpha is about (by opposition to beta) and what are the various form it can take when analysing and eventually replicating it through advanced methods in quantitative Investment strategies.Enseignant responsable :
- GUILLAUME MONARCHA
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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.
Mandatory Courses
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Internship
Internship
Ects : 6
Optional Block
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Numerical Finance
Numerical Finance
Ects : 3
Compétence à acquérir :
Master the modelling and numerical analysis of financial derivatives
Description du contenu de l'enseignement :
Modeling and numerical analysis of financial derivatives. Numerical methods needed for quantitative work in finance: binomial and trinomial methods, finite difference methods, Monte-Carlo simulation, random number generators, option pricing and hedging
Understanding the financial meaning of the related mathematics: model parameters, implied volatility, Greeks.
Learning how to derive a pricing equation based on the probabilistic formulation of a model, possibly with stochastic volatility and/or jumps,
Learning how to implement a theta-scheme of finite differences or a tree pricing method,
Learning simulation Monte Carlo pricing and Greeking methods: basic principles and variance reduction techniques, first in a set-up of random variables or vectors, then in a dynamic set-up of stochastic processes. -
Electronic Markets
Electronic Markets
Ects : 3
Compétence à acquérir :
Advance the understanding and practice of electronic markets.
Description du contenu de l'enseignement :
Electronic financial markets, Trading cost analysis, optimal execution, high ferquency data, trading with limit orders, otpimal trding
To present financial markets, trading mechanisms and their evolution dedicated to advancing the understanding and practice of electronic markets. A particular attention will be dedicated to optimal trading and execution technics.Enseignant responsable :
- GAELLE LE FOL
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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.Enseignant responsable :
- ALBERTO MANCONI
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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. -
Fixed Income II
Fixed Income II
Ects : 3
Compétence à acquérir :
Master the theory and practice of Fi Income products pricing and hedging.
Description du contenu de l'enseignement :
Pricing and hedging of exotic rate products: Interest rate futures and bonds, Interest rate swaps, Zero coupon rate construction, Caps -Floors, Swaptions (pricing and smile), Volatility Surface/Cube, Bermudan swaptions, Callable bond and swap, Callable reverse floater, Callable snowball ... Models : HJM, Libor Market Model, Cheyette Model ...
To introduce issues and problems that arise regarding pricing and hedging of exotic rate products. -
Commodities
Commodities
Ects : 3
Compétence à acquérir :
Deep understanding of the latest developments in commodity markets, grasp the financial, social and regulatory challenges behind commodity investing as well as the necessary concepts and tools
Description du contenu de l'enseignement :
Commodities spot prices models, Forward curves, Options pricing models (Futures options, real options)
Commodities investing (properties, indices, relations to other asset classes and hedge funds strategies)
To provide an economic understanding of the latest developments in commodity markets, grasp the financial, social and regulatory challenges behind commodity investing as well as the necessary concepts and tools to i) evaluate and hedge business exposure to commodities price fluctuations, ii) construct physical or paper trading strategies on commodities markets, iii) price and hedge complex commodity derivatives iv) present risk measurement and stress testing principles for commodity portfolios. -
Energy Derivatives
Energy Derivatives
Ects : 3
Compétence à acquérir :
Good technical knowledge of pricing models and computational methods for energy derivatives products
Description du contenu de l'enseignement :
Energy markets, pricing Spot and Forward models for electricity and gas prices, Vanilla energy derivatives, Structured derivatives and physical assets, Advanced computational methods for stochastic control in energy markets
To provide students with an overview of both the technical aspects of energy markets as well as the most commonly used price models for pricing energy derivatives. -
Machine learning in finance
Machine learning in finance
Ects : 3
Compétence à acquérir :
Be able to implement a whole machine learning pipeline in Python. From key features (data cleaning, cross-validation..) to machine learning models implementation (linear regression, tree-based techniques, neural networks...).
Description du contenu de l'enseignement :
From key features (data cleaning, cross-validation..) to machine learning models implementation (linear regression, tree-based techniques, neural networks..).
To provide students with an introduction to supervised machine learning and its applications to finance. -
Credit Risk
Credit Risk
Ects : 3
Compétence à acquérir :
Master the mecanisms behind the credit risk products and their pricing models
Description du contenu de l'enseignement :
Duration And Convexity of Bond Yields, Price Dynamics of Mortgages and Cash Flows, Default Risk, Interest Rate Volatility, Financial Risk Management of Bond Portfolios, Securitization, Corporate Debt And The Securitization Markets, Asset-Backed Commercial Paper, Collateralized Loan Obligations, Structuring Synthetic Collateralized Loan Obligations, Securitization of Revolving Credit, Financial Derivatives And Their Use As Hedging Tools.
To provide a theoretical and practical analysis of credit risk markets and products -
Volatility Trading Strategies
Volatility Trading Strategies
Ects : 6
Compétence à acquérir :
Practical knowledge to design quantitative investment strategies.
Description du contenu de l'enseignement :
Beta investments, Equity beta portfolio strategies, Bonds beta portfolio strategies, multi asset allocation approach
to deeply study beta (passive) investments across asset class, and to be able to design quantitative investment strategies to monetize views on factors (macro, curve and style)Enseignant responsable :
- SCHLOMY BOTBOL
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Cross-Cutting Project
Cross-Cutting Project
Ects : 6
Compétence à acquérir :
Developing specific skills including customer relationship management, teamwork, decision-making and communication (oral and written) as part of a consulting mission of a company
Description du contenu de l'enseignement :
Hands-on experience while working on a large-scale project within a team. This exercise will involve specialized and technical knowledge gained from several courses: commodities, quantitative asset management, pricing, risk management, trading strategies
To provide fundamental knowledge as far as time and project-building management. To gather and implement the full spectrum of skills students have learned within the Master’s programme to meet the needs of, or to fulfil, the project.
To develop specific skills including client relationship management, teamwork, decision-making as well as communication (oral and written). -
Exotic Options & Structuring
Exotic Options & Structuring
Ects : 3
Compétence à acquérir :
Knowledge in structured products: how to build them (funded, or unfunded), how to hedge them and how to manage the life cycle.
Description du contenu de l'enseignement :
Exotic options, structured products
The course will recall some key elements in fixed income and derivatives to concentrate first on exotic payoffs and then structured products. We will have a review of products from each main asset class. We will learn how to build them (funded, or unfunded), how to hedge them and how to manage the life cycle.
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
Les étudiants travaillent en groupe sur des sujets appliqués dans plusieurs cours et de manière large dans le projet transversal. Les objectifs de ces projets sont de :
- fournir aux étudiants des connaissances fondamentales en matières de gestion de temps et de la gestion de projet ;
- rassembler et mettre en œuvre l’ensemble des compétences acquises dans le cadre du master pour répondre aux besoins du projet ;
- développer des compétences spécifiques telles que la gestion de la relation client, le travail en équipe, la prise de décision et la communication (orale et écrite).
Les étudiants feront 4 mois de stage minimum à partir de mai (Niveau M2). Les summer internships et les graduate programs sont considérés comme équivalents.
L'équipe pédagogique
Hafid Agouzoul
Head of the model validation and risk methodologies team, National Bank of Abu Dhabi
Cours : Titres à revenu fixe 2
Kenza Akallal
Vice President, BlackRock
Cours : Stratégies quantitatives d'investissement pour gérer le beta Finance durable
Clémence Alasseur
Research Engineer, EDF R&D
Cours : Dérivés d'énergies
Kaiza Amouh
Quantitative Associate, Natixis CIB, Paris
Cours : Programmation en VBA, Finance numérique
Guillaume Andrieux
Quantitative researcher, Man AHL, London
Cours : Evaluation de dérivés et calcul stochastique 1
Fabian Astic
Managing Director - Global Head of Analytic and Technology Solutions, Moody's Investors Service, New York
Cours : Risque de Crédit
Thierry Bechu
CIO, Aequam Capital
Cours : Gestion d'actifs
Paul Besson
Responsable de l'équipe de recherche quantitative, Kepler - Chevreux
Cours : Marchés électroniques
Xavier Bocher
Head of Operational Research Group, Crédit Agricole SA
Cours : Gestion des risques
Schlomy Botbol
Quantitative analyst, Comgest
Cours : Stratégies de trading de volatilité
Mabrouk Chetouane
Head of the Research and Strategy, BFT IM, Paris
Cours : Séries Temporelles Appliquées
Nathalie Yaël Cohen
Leadership Coach, Paris
Cours : Compétences fondamentales ou douces
Olivier Croissant
Quantitative Analyst, Natixis
Cours : Machine Learning en Finance
Laurent Dahan
Head of market risk and P&L analysis, Crédit Agricole CIB
Cours : Gestion des risques
Alain Durré
Chef Economiste, Goldman Sachs
Cours : Marchés et financement de l'économie
Jean-Louis Duverney Guichard
Partner, M&A, Ernst & Young
Cours : Fusions & acquisitions
Helen Einsargueix
Consultant in Organisation and Project Management , HSX Consulting
Cours : Préparation aux entretiens en anglais
Marius-Cristian Frunza
Managing Partner, Schwarzthal Kapital
Cours : Alternative Finance
Paul Gassiat
Maître de Conférence, Université Paris Dauphine-PSL
Cours : Evaluation de dérivés et calcul stochastique 2
Arnaud Gihan
Head of iShares Asset Management, BlackRock
Cours : Stratégies quantitatives d'investissement pour gérer le beta, Projet transversal
Thibault Godbillon
Policy expert , European Banking Authority
Cours : Régulation et Marchés Financiers
Benoit Guilleminot
CEO, SMILE Investment solutions
Cours : Commodities
Karen Herrgott
Collaborative Communication facilitator, Paris
Cours : Compétences fondamentales ou douces
Aymeric Kalife
CEO, iDigital Partners, Adjunct Professor, Université Paris Dauphine-PSL
Cours : Produits Dérivés, Finance durable
Thierry Kuagbenu
Head of Invetsment Solutions, Aviva Investors France, CFA, FSA, FRM
Cours : Gestion d'actifs
Gaëlle Le Fol
Professeur de finance, responsable du parcours Financial Markets, Université Paris Dauphine-PSL
Cours : Introduction à l'économétrie de la finance, Les métiers de la finance, Marchés électroniques
Guillaume Leenhardt
Global Head of Business Development and Group Board member, Mercuria Energy Group, Geneva
Cours : Economie et géopolitique de l'énergie
François Letondu
Head of macrofinancial and macrosector studies, Société Générale S.A.
Cours : Marchés et financement de l'économie
Arnaud Levy-Rueff
Managing partner, ExotikEquation
Cours : Titres à revenu fixe 1
Johan Mabille
Co-Founder, QuantStack
Cours : Programmation en C++, Projet transversal
Alberto Manconi
Assistant Professor of Finance, Bocconi University
Cours : Finance comportementale
Guillaume Monarcha
Responsable de la Recherche Quantitative, Orion Financial Partners
Cours : Econométrie de la Finance II, Gestion d'actifs
Philippe Nardone
Compliance Officer, Group Compliance Department, Crédit Agricole S.A.
Cours : Ethique, normes professionnelles et conformité
Tamara Nefedova
Assistant Professor, Université Paris Dauphine-PSL
Cours : Finance d'entreprise et évaluation des actions
Evgenia Passari
Assistant Professor in Financial Economics, Université Paris Dauphine-PSL
Cours : Finance Internationale
Brice Périn
Head of Convertible Bonds and Volatility Funds, LBPAM
Cours : Stratégies de trading de volatilité
Claire Porzio
Compliance Officer / Financial Security – AML/CFT, Crédit Agricole SA Group
Cours : Ethique, normes professionnelles et conformité
Jiang Pu
Chercheur, Institut Europlace de Finance
Cours : Marchés électroniques
Nicolas Raymond
Compliance Officer, Group Compliance, Crédit Agricole Group
Cours : Ethique, normes professionnelles et conformité
Zhenjie Ren
Maître de conférence, , Université Paris Dauphine-PSL
Cours : Evaluation de dérivés et calcul stochastique 1
Marc Ringeisen
Directeur délégué du Centre Opérationnel Production Marchés, EDF
Cours : Dérivés d'énergies
Fabrice Riva
Professor in Finance, Université Paris Dauphine-PSL
Cours : Investissements et marchés financiers
Julien Royer
PhD candidate in Applied Mathematics, Center for Research in Economics and Statistics (CREST) and ENSAE
Cours : Séries Temporelles Appliquées
Michaël Sebbah
Sofware engineer, Devoteam et Société Générale
Cours : Python programming for finance
Nadia Tortel-Ubaysi
Global Head of Talent, Candriam, Paris
Cours : Les métiers de la finance
Olivier Toutain
Executive Director, Scope Ratings, Adjunct Professor, Université Paris Dauphine-PSL
Cours : Alternative Finance, Risque de Crédit, Finance durable
Séverine Vadon-David
Trainer and certified coach, ACF, Paris
Cours : Ethique, normes professionnelles et conformité
Thibaud Vienne
Data Scientist, Natixis CIB
Cours : Machine Learning en Finance
Redouane Zad
Founding Executive Director, Cristalys
Cours : Options exotiques et produits structurés
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