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Ingénierie financière 2020-21

Master project

Courses
Code
 
Programs
 
Lecturers
 
Specialisation
Master 1 
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Master 2 
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MP Autumn 
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MP Spring 
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Exam
 
Credits
 
 
 
 
 
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 
IF 
Profs divers  
 
 
 
320h 
 
 
320h 
 
 
320h 
 
 
320h 
 
 
Term paper
0
 
 
 
 
Master project in Financial Engineering
FIN-599 
IF 
Profs divers  
 
 
 
 
 
 
 
 
 
900h 
 
 
900h 
 
 
Oral
30
 

Block 1

Courses
Code
 
Programs
 
Lecturers
 
Specialisation
Master 1 
l
e
p
Master 2 
l
e
p
Exam
 
Credits
 
 
 
 
 
Accounting for finance (MA1 only. Special schedule: see the FE website)
FIN-411 
IF 
Cauvin  
 
2h 
 
 
 
 
 
 
Written
2
 
 
 
 
Econometrics (For sem. MA1)
FIN-403 
IF 
Semadeni  
 
2h 
2h 
 
 
 
 
 
Written
4
 
 
 
 
Introduction to finance (MA1 only. OPEN TO IF MASTER, IF MINOR AND IF EXCHANGE STUDENTS ONLY)
FIN-401 
IF 
Morellec  
 
2h 
2h 
1h 
 
 
 
 
Written
6
 
 
 
 
Macrofinance (For sem. MA1. Special schedule: see the IF website http://sfi.epfl.ch/mfe/study-plan )
FIN-406 
IF 
Lambertini
Mondragon Minero
Pröbsting  
 
2h 
2h 
 
 
 
 
 
Written
4
 
 
 
 
Optimization methods (For sem. MA1. Special schedule: see the IF website http://sfi.epfl.ch/mfe/study-plan )
FIN-414 
IF 
Perazzi  
 
1h 
1h 
 
 
 
 
 
Written
2
 
 
 
 
Stochastic calculus
FIN-415 
IF 
Filipovic
Malamud  
 
3h 
2h 
 
 
 
 
 
Written
6
 
 
 
 
HSS : Introduction to project
 
SHS 
Divers enseignants
 
 
 
 
 
 
 
 
 
 
 
 
 
 
3
 
 
 
 
HSS : Project
 
SHS 
Divers enseignants
 
 
 
 
 
 
 
 
 
 
 
 
 
 
3
 

Block 2

Courses
Code
 
Programs
 
Lecturers
 
Specialisation
Master 1 
l
e
p
Master 2 
l
e
p
Exam
 
Credits
 
 
 
 
 
Advanced derivatives (MA3 only)
FIN-503 
IF 
Perazzi  
 
2h 
1h 
 
 
 
 
 
Written
4
 
 
 
 
Derivatives
FIN-404 
IF 
Hugonnier  
 
 
 
 
3h 
2h 
 
 
Written
6
 
 
 
 
Financial econometrics
FIN-407 
IF 
Vacat  
 
 
 
 
3h 
2h 
 
 
Written
6
 
 
 
 
Interest rate and credit risk models (MA3 only)
FIN-416 
IF 
Filipovic  
 
3h 
2h 
 
 
 
 
 
Written
6
 
 
 
 
Investments
FIN-405 
IF 
Collin Dufresne  
 
 
 
 
3h 
2h 
 
 
During the semester
6
 
 
 
 
Quantitative risk management (MA3 only)
FIN-417 
IF 
Malamud  
 
2h 
2h 
 
 
 
 
 
Written
4
 

Group 1

Courses
Code
 
Programs
 
Lecturers
 
Specialisation
Master 1 
l
e
p
Master 2 
l
e
p
Exam
 
Credits
 
 
 
 
 
Advanced machine learning
MICRO-570 
MT 
Billard  
 
 
 
 
3h 
1h 
1h 
 
Oral
4
 
 
 
 
Advanced numerical analysis
MATH-351 
MA 
Picasso  
 
2h 
2h 
 
 
 
 
 
Written
5
 
 
 
 
Applied data analysis
CS-401 
SC 
West  
 
2h 
 
2h 
 
 
 
 
Written
6
 
 
 
 
Applied machine learning
MICRO-455 
MT 
Billard  
 
4h 
 
 
 
 
 
 
Written
4
 
 
 
 
Artificial neural networks
CS-456 
IN 
Gerstner  
 
 
 
 
2h 
2h 
 
 
Written
5
 
 
 
 
Computational finance (MA3 only)
FIN-472 
IF 
Glau
Goel
Pasricha
Pulido Nino  
 
2h 
2h 
 
 
 
 
 
Written
5
 
 
 
 
Cryptography and security
COM-401 
SC 
Vaudenay  
 
4h 
2h 
 
 
 
 
 
Written
7
 
 
 
 
Data science for business (MA3 only)
MGT-432 
MTE 
Younge  
 
3h 
 
1h 
 
 
 
 
During the semester
6
 
 
 
 
Deep learning
EE-559 
EL 
Fleuret  
 
 
 
 
2h 
2h 
 
 
Written
4
 
 
 
 
Financial applications of blockchains and distributed ledgers (Special schedule: see the IF website http://sfi.epfl.ch/mfe/study-plan )
FIN-413 
IF 
Xu  
 
2h 
 
 
 
 
 
 
During the semester
3
 
 
 
 
Financial big data (MA3 only)
FIN-525 
IF 
Challet  
 
3h 
 
 
 
 
 
 
During the semester
3
 
 
 
 
Fundamentals of machine learning
EE-311 
EL 
Fleuret
Liebling  
 
 
 
 
2h 
 
2h 
 
Written
4
 
 
 
 
Global business environment
FIN-523 
IF 
Lambertini  
 
2h 
1h 
 
 
 
 
 
Written
4
 
 
 
 
Information: strategy & economics (pas donné en 2020-21)
MGT-431 
MTE 
 
 
 
 
 
3h 
 
 
 
During the semester
4
 
 
 
 
Information security and privacy
COM-402 
IN 
Hubaux
Oechslin  
 
3h 
1h 
2h 
 
 
 
 
Written
6
 
 
 
 
Intelligent agents
CS-430 
IN 
Faltings  
 
3h 
3h 
 
 
 
 
 
Written
6
 
 
 
 
Machine learning
CS-433 
IN 
Flammarion
Jaggi  
 
4h 
2h 
 
 
 
 
 
Written
7
 
 
 
 
Machine learning for finance (MA3 only)
FIN-418 
IF 
Ackerer  
 
2h 
 
 
 
 
 
 
During the semester
2
 
 
 
 
Machine learning programming
MICRO-401 
MT 
Billard
Busch  
 
 
 
2h 
 
 
 
 
During the semester
2
 
 
 
 
Mathematical modelling of behavior
MATH-463 
MA 
Bierlaire  
 
2h 
2h 
 
 
 
 
 
Written
5
 
 
 
 
Modern regression methods (Course given every two years)
MATH-408 
MA 
Davison  
 
 
 
 
2h 
2h 
 
 
Written
5
 
 
 
 
Numerical analysis and computational mathematics
MATH-456 
MA 
Vazquez Hernandez  
 
2h 
2h 
 
 
 
 
 
Written
4
 
 
 
 
Numerical approximation of PDEs
MATH-451 
MA 
Buffa  
 
 
 
 
2h 
2h 
 
 
Written
5
 
 
 
 
Numerical integration of stochastic differential equations
MATH-450 
MA 
Abdulle  
 
 
 
 
2h 
2h 
 
 
Written
5
 
 
 
 
Principles of microeconomics
MGT-454 
MTE 
Mack  
 
3h 
1h 
 
 
 
 
 
Written
4
 
 
 
 
Real options and financial structuring (MA3 only)
FIN-410 
IF 
Arnold  
 
2h 
1h 
 
 
 
 
 
Written
4
 
 
 
 
Risk, rare events and extremes (Cours donné en alternance sur deux ans)
MATH-447 
MA 
Davison  
 
2h 
2h 
 
 
 
 
 
Written
5
 
 
 
 
Statistical inference and machine learning
MGT-448 
MTE 
Kiyavash  
 
2h 
2h 
 
 
 
 
 
Written
4
 
 
 
 
Statistical machine learning
MATH-412 
MA 
Obozinski  
 
2h 
2h 
 
 
 
 
 
Written
5
 
 
 
 
Time series
MATH-342 
MA 
Olhede  
 
 
 
 
2h 
2h 
 
 
Written
5
 
 
 
 
Venture capital (MA3 only)
FIN-522 
IF 
Fahlenbrach  
 
3h 
 
 
 
 
 
 
Written
4
 

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