This program focuses on the techniques of quantification and risk coverage on the financial markets. It begins with the presentation of the mathematical tools used to model financial instruments (stochastic computation, temporal series). An examination of their use for evaluating and managing risks follows this, backed up by the direct transfer of experience by trading room professionals. Special emphasis is placed on the study of the numerical methods (probabilistic and analytical) used in the valuation and coverage of the corresponding financial instruments.
The specificities of these methods for application to the insurance or energy sectors are set out. Particular stress will be placed on the modelling of credit risk and the features of high-frequency trading. This program is based on the École des Ponts ParisTech engineering program. Student numbers are limited to around twenty (excluding École des Ponts ParisTech students).
The Mathrisk project, a joint Université Paris-Est Marne-la-Vallée, École des Ponts ParisTech and INRIA (national IT and automation research institute) research team manages the scientific content of this program.
This team is notably developing a risk evaluation software application in partnership with the industry.
Since certain courses are clearly focused on applications, on completion of the Masters students can find openings in the corporate sector.
The sectors concerned are market finance (quantitative analysis, risk analysis, debt structuring, trading…), insurance, energy, as well as market regulators. There is great demand in these sectors for random modelling in order to understand and quantify risks.
Some students, in particular those seeking a career in research or in teaching and research, may use the Masters as a preparation for a PhD. For graduates admitted for a PhD, there are a number of possible sources of funding (research funding from the Ministry of Higher Education and Research, C.I.F.R.E. grants, grants from École Nationale des Ponts et Chaussées, ...).
Research funding from the Ministry of Higher Education and Research is allocated via the Doctoral Schools.
The Masters program has a special relationship with the Université Paris-Est Research and Higher Education Cluster’s Mathematics and ICT doctoral School and with Evry University’s SITEVRY doctoral school.