This major consists of core courses and three modules: Research in Statistics, Biostatistics, and Forecasting and

Finance.
Core courses
The purpose of the core courses is to provide a comprehensive view of the state of the art in mathematical statistics.

Mandatory : Bayesian Statistics, Semi and Nonparametric Statistics, Simulation Methods and Resampling,
Statistical Methods of Econometrics, Asymptotic Statistics
Optional : Dynamic Models with Hidden Variables, Advanced Data Analysis, Relational Databases and Web
programming

Module 3: Forecasting and finance

Mandatory : Statistical Methods for Finance, GARCH and Stochastic Volatility Models, Phenomenology of
Financial Markets, Measure of Risk
Optional : Stochastic Calculus, Advanced Time Series Analysis, Nonlinear Time Series and processes,
Econometrics of Asset Valuing, High Frequency Data

Related courses in other majors

Financial Econometrics and Risk Management are recommended for students aiming to apply for jobs as bank
statistician

The Quantitative Finance major consists of core courses and three modules: Financial Risk Management, Financial
Engineering and Financial econometrics.
Core courses

Mandatory : Stochastic Calculus, Arbitrage Pricing Theory, Term Structure of Interest Rates, Asset
Management, Financial Econometrics, Risk Management
Optional : Credit Derivatives

Module 1: Financial Risk Management

Following the financial crises of the 1990s and the law reinforcement that followed, evaluation structures were
developed in banks and large firms. These structures deal with risk evaluation, management and control.

Mandatory : Assets and Liabilities Management, Finance Accounting, Credit Scoring

Optional : Credit Risks, Imperfect Markets Modeling, Financial Markets and Bank Law, Finance Analysis and
Business Audit

Module 2: Financial Engineering

Mandatory : Financial Engineering Techniques, Monte Carlo Methods in Finance, PDE Methods in Finance,
C++
Optional : JAVA, Stochastic Optimal Control, Advanced Asset Management, American Options, Calibration

Module 3: Financial Econometrics

Mandatory : Phenomenology of Financial Markets, Econometrics of Asset Valuing

Optional : Introduction to the Microeconomics of Financial Markets, GARCH and Stochastic Volatility
Models, Risk Measurment, Statistical Methods for Finance, Dynamic Models with Hidden Variables, High
Frequency Data Analysis

Related courses in other majors

Capital Markets presents an analysis of the recent changes in capital markets. It gives a global vision of the actors
and stakes of financial intermediation.
Financial Macroeconomics presents, from a macro economic point of view, interpretations of the notions of asset
value, portfolio management, and risk premium.
Monetary Policies is essential to the understanding of the strategies and methods used in central banks. In the same
way,
A good knowledge of the instruments of Corporate Finance is necessary to complete financial skills. Job opportunities
exist in large firms and investment banks.
Microeconomic Theory of Insurance explains the basic notions needed to draw up insurance contracts. It tackles the
concepts of information asymmetry, moral hazard and anti-selection.
Bacheliers seminar (http://www.bachelier-paris.com/) offers mathematical finance courses at a PhD level; good
students may follow these courses, mainly at the end of the program.

Econometrics for Research Students Part I

(Ph.D.) (L+E)
Fumio Hayashi (2000): Econometrics. Princeton University
Press

Macroeconomics for Research Students Part

I (Ph.D.) (L+E)
Daron Acemoglu: "Introduction to Modern Economic Growth".
Larso Ljungqvist, L., and Thomas Sargent: Recursive Macroeconomic
Theory
- 2nd Edition, MIT Press 2004.
Christopher Pissarides: Equilibrium Unemployment Theory - 2nd Edition,
MIT Press 2000.
Cooley Thomas: "Frontiers of Business Cycle Research", Princeton
University Press, 1995.

Microeconomics for Research Students Part I

(Ph.D.) (L+E)
Microeconomics: Choice and general equilibrium

Econometrics for Research Students Part II

(Ph.D.) (L+E)
Cameron and Trivedi (2005), Microeconometrics, Cambridge

University
Press

Macroeconomics for Research Students Part

II (Ph.D.) (L+E)
Ljungqvist, L., and Thomas Sargent: "Recursive Macroeconomic Theory" 2nd Edition, MIT Press 2004.
Cooley Thomas: "Frontiers of Business Cycle Research", Princeton
University Press, 1995

Microeconomics for Research Students Part

II (Ph.D.) (L+E)
Lecture on micro theory (game theory, microeconomic methods,
information
economics)