Financial Markets - 203 - 2ème année de master

L'année de formation

Obligatoire

  • Ethics, Prof. Standards & Compliance

    Array

    Ects : 3
    Coefficient : Array
    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.

  • Fundamentals in Corporate Finance

    Array

    Coefficient : Array
    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"

Optionnel

  • Mergers & Acquisitions

    Array

    Ects : 3
    Coefficient : Array
    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

    Array

    Ects : 3
    Coefficient : Array
    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

    Array

    Ects : 3
    Coefficient : Array
    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

    Array

    Ects : 3
    Coefficient : Array
    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

    Array

    Ects : 3
    Coefficient : Array
    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

    Array

    Ects : 3
    Coefficient : Array
    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

    Array

    Ects : 3
    Coefficient : Array
    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 models

  • Derivatives Pricing & Stochastic Calculus II

    Array

    Ects : 6
    Coefficient : Array
    Compétence à acquérir :
    Master the theory of derivative asset pricing

    Description du contenu de l'enseignement :
    Theory of asset pricing, Ito framework, markovian models, constantvolatility models, local and stochastic volatility models
    To present the theory of derivative asset pricing as well as the main models and techniques used in practice.

  • Python Programming

    Array

    Ects : 3
    Coefficient : Array
    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

    Array

    Ects : 3
    Coefficient : Array
    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

  • Financial econometrics I

    Array

    Ects : 3
    Coefficient : Array
    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

    Array

    Ects : 3
    Coefficient : Array
    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

    Array

    Ects : 3
    Coefficient : Array
    Compétence à acquérir :
    Master the issues and tools in risk management

    Description du contenu de l'enseignement :
    Risk Management, VaR, Expected Shortfall, Stress tests, liquidity risk, Basel reqirements, multivariate models, Extreme riks
    Understanding the main issues and tools in risk management

  • a in QIS

    Array

    Ects : 6
    Coefficient : Array
    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.

  • Regulation & Financial Markets

    Array

    Ects : 3
    Coefficient : Array
    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.

Obligatoire

  • Internship

    Array

    Ects : 6
    Coefficient : Array
    Compétence à acquérir :

    Description du contenu de l'enseignement :

Optionnel

  • Numerical Finance

    Array

    Ects : 3
    Coefficient : Array
    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

    Array

    Ects : 3
    Coefficient : Array
    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.

  • Behavioral Finance

    Array

    Ects : 3
    Coefficient : Array
    Compétence à acquérir :
    Understanding the financial anomalies and their implications through a behavioral finance lens for a better financial decision-making.

    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.

  • Alternative Finance

    Array

    Ects : 3
    Coefficient : Array
    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

    Array

    Ects : 3
    Coefficient : Array
    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

    Array

    Ects : 3
    Coefficient : Array
    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

    Array

    Ects : 3
    Coefficient : Array
    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

    Array

    Ects : 3
    Coefficient : Array
    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

    Array

    Ects : 3
    Coefficient : Array
    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

  • ß in QIS

    Array

    Ects : 6
    Coefficient : Array
    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)

  • Cross-Cutting Project

    Array

    Ects : 6
    Coefficient : Array
    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

    Array

    Ects : 3
    Coefficient : Array
    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 2020 - 2021 - 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.


 

 

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