Master's degree Mathematics of Finance and Data
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Entry requirements
M2 is for students who have successfully completed a first year of a Master's in Pure or Applied Mathematics or in Mathematics-Computer Science or who can prove they have an equivalent level, as well as Grande Ecole students.
Applications are examined by a committee.
Benefits of the program
Affiliated with top-level research laboratories (LAMA, CERMICS, LIGM) and the Bézout Labex
Attractiveness, clarity and career opportunities for the four programmes in partnership with ENPC.
Regional coherence (Paris East) of the training. Work-study programme and sessions with professional partners.
Acquired skills
On completion of the Master's programme, graduates will be able to:
- Master mathematical tools, whether differential, probabilistic, statistical or numerical, and adapt to their development and increasing complexity.
- Design and apply theoretical knowledge to respond in the most appropriate way to real and concrete problems in their area of expertise.
- Model random events.
- Recommend balanced solutions.
- Search for and use documentary resources optimally in order to explore new subjects or be able to innovate in subjects arising from everyday problems.
International
The international attractiveness of the Master's programme is demonstrated by the constant flow of scholarship students from the “Bézout” excellence pathway, which sets our programme apart from identical or similar programmes in France.
Capacities
30
Course venue
Your future career
The “Mathematics and Applications” Master's degree trains high-level mathematicians who wish to go into teaching or research in academia or industry, or for careers in market finance. Financial market modelling requires sophisticated mathematical tools.
Professional integration
Activity sectors and types of positions accessible to holders of this diploma, Master's degree or certificate:
- Teaching - research in an academic or industrial environment
- Research bodies and centres
- Engineering - Mathematical R&D
- Transport industries (aerospace, aeronautics, naval, automotive, etc.) - Energy industries (nuclear, solar, wind, oil, etc.)
- Banking, Finance, Insurance ... market research, trading
- Computer Science
- Telecommunications
- Teacher and researcher
- Research engineer
- Statistical and economic researcher
- Actuarial researcher
- Actuarial researcher, asset/liability management - Actuary
- Broker (trader)
Study objectives
The aim of the Master's programme is twofold:
- Develop theoretical and practical concepts enabling students to specialise in banking, insurance, certain industrial sectors and service companies.
- Prepare students for teaching and fundamental or industrial research.
Major thematics of study
Mathematics and Computer Science
Calendar
The second-year Master’s is divided into two semesters. It is run jointly by the Université Gustave Eiffel and the UPEC, and all courses take place at the Université Gustave Eiffel. The work placement is carried out in the second semester.
Semester 3
Courses | ECTS | CM | TD | TP |
---|---|---|---|---|
UE OBLIGATOIRES : TRONC COMMUN FINANCE | 21 | |||
Calcul stochastique
Presentation of stochastic processes in continuous time and their main properties
Teaching language FRANÇAIS / FRENCH | 6 | 30h | ||
Arbitrage, volatilité et gestion de portefeuille
Quantitative methods for pricing, hedging and optimal investing in financial markets
Teaching language FRANÇAIS / FRENCH | 6 | 30h | ||
Méthodes de Monte Carlo et algorithmes stochastiques
Presentation of stochastic algorithms for optimization and approximation of financial processes
Teaching language FRANÇAIS / FRENCH | 6 | 38h | ||
Semaine ouverture finance quantitative
Practitioners’ seminar on current hype quantitative finance topics
Teaching language FRANÇAIS / FRENCH | ||||
Introduction au C++
Main coding aspects of C++ software programming language for financial applications
Teaching language FRANÇAIS / FRENCH | 3 | 20h | ||
MATHEMATIQUES FINANCIERES APPROFONDIES 3 COURS A 6 ECTS A VALIDER PARMI LES UE PROPOSEES AU S3 ET AU S4 | 30 | |||
Architecture big data
Practical implementation on softwares for large databases and distributed computing
Teaching language FRANÇAIS / FRENCH | 6 | 30h | ||
Risque de crédit risque de défaut
Risk management and default modeling for credit risk
Teaching language FRANÇAIS / FRENCH | 6 | 24h | ||
Mesure de risque en finance
Main risk measures and financial risk management
Teaching language FRANÇAIS / FRENCH | 6 | 24h | ||
Apprentissage statistique et applications
Machine learning and deep learning algorithms for practical and in particular financial applications
Teaching language FRANÇAIS / FRENCH | 6 | 38h | ||
Méthodes de discrétisation de gradient pour des applications en modélisation stochastique et financière
???
Teaching language FRANÇAIS / FRENCH | 6 | 30h |
Semester 4
Courses | ECTS | CM | TD | TP |
---|---|---|---|---|
UE OBLIGATOIRES : TRONC COMMUN FINANCE | 21 | |||
Modèles de taux d'intérêt
Interest rate modeling and calibration
Teaching language FRANÇAIS / FRENCH | 6 | 30h | ||
Stage
Teaching language FRANÇAIS / FRENCH | 15 | |||
MATHEMATIQUES FINANCIERES APPROFONDIES 3 COURS A 6 ECTS A VALIDER PARMI LES UE PROPOSEES AU S3 ET AU S4 | 24 | |||
Données hautes fréquences en finance
High frequency trading and modeling of the impact and liquidity of order books.
Teaching language FRANÇAIS / FRENCH | 6 | 26h | ||
Modèles de volatilité
Teaching language FRANÇAIS / FRENCH | 6 | 24h | ||
Méthodes numériques et produits structures en actuariat
Determinist numerical methods for financil risk pricing and actuarial applications.
Teaching language FRANÇAIS / FRENCH | 6 | 24h | ||
Introduction au calcul de Malliavin et applications numériques en finance
Malliavin differential calculus and applications to hedging and non linear pricing methods
Teaching language FRANÇAIS / FRENCH | 6 | 24h |
Marie-Monique RIBON (M2)
Partners
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Le Master a trois partenaires académiques : l’UPEM et l’UPEC (via le LAMA, Laboratoire d’Analyse et de Mathématiques Appliquées UMR CNRS 8050 et LIGM pour le parcours Bézout) et l’ENPC (via le CERMICS Centre d'Enseignement et de Recherche en Mathématiques et Calcul Scientifique, pour le parcours finance).