Financial engineering 2024-25

Block 1

Courses
Language
Master 1
Master 2
Specialisations/Orientations
Exam
Credits / Coefficient
Accounting for finance (MA1 only. Special schedule: see the IF website https://go.epfl.ch/fe)
FIN-411 / Section IF
Cauvin
EN
  • Lecture: 2h
-
Winter session
During the semester
2
Convex optimization
MGT-418 / Section MTE
Kuhn
EN
  • Lecture: 2h
  • Exercises: 2h
-
Winter session
Written
5
HSS : Introduction to project
/ Section SHS
Divers enseignants
FR/EN
-
-
Winter session
3
HSS : Project
/ Section SHS
Divers enseignants
FR/EN
-
-
Summer session
3
Introduction to econometrics
MGT-581 / Section MTE
Aklin
EN
  • Lecture: 2h
  • Exercises: 2h
-
Winter session
Written
4
Introduction to finance (MA1 only. Open to IF Master, IF Minor and IF Exchange Students only)
FIN-401 / Section IF
Morellec
EN
  • Lecture: 2h
  • Exercises: 2h
  • Project: 1h
-
Winter session
Written
6
Probability and stochastic calculus
FIN-415 / Section IF
Perazzi
EN
  • Lecture: 3h
  • Exercises: 2h
-
Winter session
Written
6

Block 2

Courses
Language
Master 1
Master 2
Specialisations/Orientations
Exam
Credits / Coefficient
Advanced derivatives (MA3 only)
FIN-503 / Section IF
Perazzi
EN
  • Lecture: 2h
  • Exercises: 1h
-
Winter session
During the semester
4
Derivatives
FIN-404 / Section IF
Hugonnier
EN
-
  • Lecture: 3h
  • Exercises: 2h
Summer session
Written
6
Ethical behavior in the financial industry (Special schedule: see the IF website https://go.epfl.ch/fe)
FIN-419 / Section IF
Nahas
EN
  • Lecture: 2h
-
Winter session
During the semester
2
Interest rate and credit risk models (MA3 only)
FIN-416 / Section IF
Filipovic
EN
  • Lecture: 3h
  • Exercises: 2h
-
Winter session
Written
6
Investments
FIN-405 / Section IF
Collin Dufresne
EN
-
  • Lecture: 3h
  • Exercises: 2h
Summer session
During the semester
6
Machine learning in finance
FIN-407 / Section IF
Malamud
EN
-
  • Lecture: 3h
  • Exercises: 2h
Summer session
Written
6
Macroeconomics and monetary policy
FIN-424 / Section IF
Fuster
EN
-
  • Lecture: 2h
  • Exercises: 1h
Summer session
Written
4
Quantitative risk management
FIN-417 / Section IF
Filipovic
EN
  • Lecture: 2h
  • Exercises: 2h
-
Winter session
Written
4

Group 1

Courses
Language
Master 1
Master 2
Specialisations/Orientations
Exam
Credits / Coefficient
Advanced numerical analysis II
MATH-351 / Section MA
Picasso
EN
  • Lecture: 2h
  • Exercises: 2h
-
Winter session
Written
5
Applied data analysis
CS-401 / Section SC
Brbic
EN
  • Lecture: 2h
  • Project: 2h
-
Winter session
Written
8
Causal inference
MGT-416 / Section MTE
Kiyavash
EN
-
  • Lecture: 2h
  • Exercises: 1h
Summer session
During the semester
4
Cryptography and security
COM-401 / Section SC
Vaudenay
EN
  • Lecture: 4h
  • Exercises: 2h
-
Winter session
Written
8
Data science for business (MA3 only)
MGT-432 / Section MTE
Dunbar
EN
  • Lecture: 3h
  • Exercises: 1h
-
Winter session
During the semester
6
Data visualization
COM-480 / Section SC
Vuillon
EN
-
  • Lecture: 2h
  • Project: 2h
Summer session
During the semester
6
Deep learning
EE-559 / Section EL
Cavallaro
EN
-
  • Lecture: 2h
  • Exercises: 2h
Summer session
During the semester
4
Deep reinforcement learning
CS-456 / Section IN
Gulcehre
EN
-
  • Lecture: 2h
  • Exercises: 1h
  • Project: 1h
Summer session
Written
6
Financial applications of blockchains and distributed ledgers (Special schedule: see the IF website https://go.epfl.ch/fe)
FIN-413 / Section IF
Karyampas
EN
-
  • Lecture: 2h
  • Project: 1h
Summer session
During the semester
3
Financial big data (MA3 only)
FIN-525 / Section IF
Challet
EN
  • Lecture: 3h
-
Winter session
During the semester
3
Financial intermediation
FIN-420 / Section IF
Fuster
EN
-
  • Lecture: 3h
Summer session
During the semester
4
Fundamentals of machine learning
EE-311 / Section EL
Liebling
FR
-
  • Lecture: 2h
  • Project: 2h
Summer session
Written
4
Information: strategy & economics
MGT-431 / Section MTE
Weber
EN
  • Lecture: 3h
-
Winter session
During the semester
4
Information security and privacy
COM-402 / Section IN
Payer
EN
  • Lecture: 3h
  • Exercises: 1h
  • Project: 2h
-
Winter session
Written
8
Intelligent agents
CS-430 / Section IN
Faltings
EN
  • Lecture: 3h
  • Exercises: 3h
-
Winter session
During the semester
6
Introduction to stochastic PDEs
MATH-485 / Section MA
Hairer
EN
-
  • Lecture: 3h
  • Exercises: 2h
Summer session
Oral
5
Machine learning
CS-433 / Section IN
Flammarion, Jaggi
EN
  • Lecture: 4h
  • Exercises: 2h
  • Project: 2h
-
Winter session
Written
8
Machine learning I
MICRO-455 / Section MT
Billard
EN
  • Lecture: 4h
-
Winter session
Written
4
Machine learning II
MICRO-570 / Section MT
Billard
EN
-
  • Lecture: 3h
  • Exercises: 1h
  • Project: 1h
Summer session
Oral
4
Machine learning programming
MICRO-401 / Section MT
Billard
EN
  • Project: 2h
-
Winter session
During the semester
2
Mathematical modelling of behavior
MATH-463 / Section MA
Bierlaire
EN
  • Lecture: 2h
  • Exercises: 2h
-
Winter session
Written
5
Multivariate statistics
MATH-444 / Section MA
Panaretos
EN
-
  • Lecture: 2h
  • Exercises: 2h
Summer session
Written
5
Nature finance (MTE-SMT Students : MA3 only )
MGT-541 / Section MTE
Coutu
EN
  • Lecture: 2h
  • Project: 1h
-
Winter session
During the semester
3
Numerical analysis and computational mathematics
MATH-456 / Section MA
Grigori
EN
  • Lecture: 2h
  • Exercises: 2h
-
Winter session
Written
4
Numerical approximation of PDEs
MATH-451 / Section MA
Buffa
EN
-
  • Lecture: 2h
  • Exercises: 2h
Summer session
Written
5
Numerical integration of stochastic differential equations
MATH-450 / Section MA
Nobile
EN
  • Lecture: 2h
  • Exercises: 2h
-
Winter session
Written
5
Principles of microeconomics (MA3 only)
MGT-454 / Section MTE
Mack
EN
  • Lecture: 3h
  • Exercises: 1h
-
Winter session
Written
4
Regression methods
MATH-408 / Section MA
Davison
EN
  • Lecture: 2h
  • Exercises: 2h
-
Winter session
Written
5
Statistical analysis of network data
MATH-448 / Section MA
Olhede
EN
  • Lecture: 2h
  • Exercises: 2h
-
Winter session
Written
5
Statistical machine learning
MATH-412 / Section MA
Obozinski, Zemel
EN
  • Lecture: 2h
  • Exercises: 2h
-
Winter session
Written
5
Stochastic simulation
MATH-414 / Section MA
Nobile
EN
  • Lecture: 2h
  • Exercises: 2h
-
Winter session
Written
5
Time series
MATH-342 / Section MA
Olhede
EN
-
  • Lecture: 2h
  • Exercises: 2h
Summer session
Written
5
Venture capital (MA3 only)
FIN-522 / Section IF
Fahlenbrach
EN
  • Lecture: 3h
-
Winter session
Written
4

Master project

Courses
Language
Master 1
Master 2
MP Autumn
MP Spring
Exam
Credits / Coefficient
Engineering internship credited with master project (master in Financial Engineering) (Stage d'au minimum 8 semaines. Inscription en principe par la bourse au stages, sinon en s'adressant à la section)
FIN-598 / Section IF
Profs divers
EN
  • Project: 320h
  • Project: 320h
  • Project: 320h
  • Project: 320h
Winter/Summer session
During the semester
0
Master project in Financial Engineering
FIN-599 / Section IF
Profs divers
EN
-
-
  • Project: 900h
  • Project: 900h
Winter/Summer session
Oral
30