M2 Modélisation Aléatoire

Master en statistique, probabilités et finance - Université Paris 7 - Paris Diderot

 
 
 
 
 
 
List of courses
 
 

List of courses

    1. Core modules
      • Stochastic calculus and diffusion processes (F. Comets)
      • Markov Chain (M. Merle)
      • Introduction to machine learning (S. Gaiffas)
      • Data modelling: founding principles (A. Fischer & S Gribkova)
    2. Quantitative Finance Modules
      • Stochastic processes in finance (P. Tankov & C. Fontana)
      • Financial products (B. Bruder)
      • Energy markets (R. Aid & O. Feron)
      • Advanced interest rate modelling (Z. Grbac)
      • Model risk and model validation for pricing (P. Tankov)
    3. Data Science Modules
      • Mixture models for data analysis (F. Rossi)
      • Statistical learning (S. Clemencon)
      • Wavelet methods (G. Kerkyacharian)
      • Methods for large/high dimensional data sets (S. Boucheron)
      • Computational Statistics (P. Latouche)
      • Data science and statistics for industry (M. Mougeot)
    4. Asset Management Modules
      • Stochastic control in finance (H. Pham)
      • Backward Stochastic Differential Equation in Finance (M.C. Quenez)
      • Algorithmic trading (O. Gueant)
      • Quantitative Asset management (B. Bruder)
    5. Computer Science Modules
      • C++ (O. Carton)
      • Statistical softwares (S. Souchet)
      • Projects (S. Scotti)
    6. Probability & Statistics Modules 
      • Mixing time and cutoff phenomenon for Markov chains (J. Salez)
      • Interacting particle systems (C. Toninelli)
    7. Risk Management Modules 
      • Credit risk modelling (R. Rouge)
      • Risk measures and risk Management (H. Pham & A. Ouattara)
      • Copula with applications to finance (J.D. Fermanian)
    8. Statistics & Finance Modules
      • Financial time series (J.M. Bardet)
      • Prediction and sequential investments (J.Y. Audibert)
      • Statistical inference for diffusion processes (A. Gloter)
      • Filtering techniques and statistical analysis applied in finance (J. Turc)
    9. Numerical & Approximation Methods Modules
      • PDE methods in finance (Y. Achdou & O. Bokanowski)
      • Monte Carlo Methods (N.Frikha)
      • Advanced probabilistic numerical methods in finance (J.-F. Chassagneux)
      • Asymptotic methods in finance (H. Pham)