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Ingénierie financière 2019-20

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 (For sem. MA1. Special schedule: see the IF website http://sfi.epfl.ch/mfe/study-plan )
FIN-411 
IF 
Cauvin  
 
2h 
 
 
 
 
 
 
Written
2
 
 
 
 
Econometrics (For sem. MA1)
FIN-403 
IF 
Semadeni  
 
2h 
2h 
 
 
 
 
 
Written
4
 
 
 
 
Introduction to finance (For MA1. OPEN TO IF MASTER, IF MINOR AND IF EXCHANGE STUDENTS ONLY)
FIN-401 
IF 
Fahlenbrach  
 
3h 
2h 
 
 
 
 
 
Written
6
 
 
 
 
Macrofinance (For sem. MA1. Special schedule: see the IF website http://sfi.epfl.ch/mfe/study-plan )
FIN-406 
IF 
Lambertini  
 
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 
 
 
 
 
 
During the semester
2
 
 
 
 
Stochastic calculus
FIN-415 
IF 
Filipovic  
 
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 (Only for MA3)
FIN-503 
IF 
Perazzi  
 
2h 
1h 
 
 
 
 
 
During the semester
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 (Only in MA3)
FIN-416 
IF 
Filipovic  
 
3h 
2h 
 
 
 
 
 
Written
6
 
 
 
 
Investments
FIN-405 
IF 
Collin Dufresne  
 
 
 
 
3h 
2h 
 
 
During the semester
6
 
 
 
 
Quantitative risk management (Only in MA3)
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  
 
 
 
 
2h 
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 
 
 
 
 
 
 
During the semester
4
 
 
 
 
Computational finance
FIN-472 
IF 
Glau
Pulido Nino
Statti  
 
2h 
2h 
 
 
 
 
 
Written
5
 
 
 
 
Cryptography and security
COM-401 
SC 
Vaudenay  
 
4h 
2h 
 
 
 
 
 
Written
7
 
 
 
 
Data science for business (only for MA3)
MGT-432 
MTE 
Younge  
 
3h 
 
1h 
 
 
 
 
During the semester
6
 
 
 
 
Data science in practice (Special schedule. See the MTE website: http://cdm.epfl.ch/mte/study-plan )
MGT-415 
MTE 
Bruffaerts  
 
 
 
 
2h 
1h 
 
 
Written
3
 
 
 
 
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
2
 
 
 
 
Financial big data (Only for MA3)
FIN-525 
IF 
Challet  
 
3h 
 
 
 
 
 
 
During the semester
3
 
 
 
 
Fundamentals of machine learning
EE-311 
EL 
Fleuret  
 
 
 
 
4h 
 
 
 
Written
4
 
 
 
 
Global business environment
FIN-523 
IF 
Lambertini  
 
2h 
1h 
 
 
 
 
 
During the semester
4
 
 
 
 
Information: strategy & economics (pas donné en 2019-20)
MGT-431 
MTE 
Weber  
 
 
 
 
3h 
 
 
 
During the semester
4
 
 
 
 
Information security and privacy
COM-402 
IN 
González Troncoso
Hubaux
Oechslin  
 
3h 
1h 
2h 
 
 
 
 
Written
6
 
 
 
 
Intelligent agents
CS-430 
IN 
Faltings  
 
3h 
3h 
 
 
 
 
 
During the semester
6
 
 
 
 
Machine learning (The first course (September 18) will take place in the Forum of Rolex Learning Center)
CS-433 
IN 
Jaggi
Urbanke  
 
4h 
2h 
 
 
 
 
 
Written
7
 
 
 
 
Machine learning for finance (MA3 only)
FIN-418 
IF 
Ackerer  
 
2h 
 
 
 
 
 
 
Written
2
 
 
 
 
Machine learning programming
MICRO-401 
MT 
Billard  
 
 
 
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 (given in 2019-20))
MATH-408 
MA 
Davison  
 
 
 
 
2h 
2h 
 
 
Written
5
 
 
 
 
Network analytics
MGT-416 
MTE 
Vacat  
 
 
 
 
2h 
1h 
 
 
During the semester
3
 
 
 
 
Numerical analysis and computational mathematics
MATH-456 
MA 
Vazquez Hernandez  
 
2h 
2h 
 
 
 
 
 
Written
4
 
 
 
 
Numerical approximation of PDEs
MATH-451 
MA 
Pagliantini  
 
 
 
 
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 (Only for MA3)
FIN-410 
IF 
Arnold  
 
2h 
1h 
 
 
 
 
 
During the semester
4
 
 
 
 
Risk, rare events and extremes (Cous donné en alternance tous les deux ans (donné en 2019-20))
MATH-447 
MA 
Davison  
 
2h 
2h 
 
 
 
 
 
Written
5
 
 
 
 
Statistical machine learning
MATH-412 
MA 
Dehaene
Obozinski  
 
2h 
2h 
 
 
 
 
 
Written
5
 
 
 
 
Time series
MATH-342 
MA 
Olhede  
 
 
 
 
2h 
2h 
 
 
Written
5
 
 
 
 
Venture capital (only for MA3)
FIN-522 
IF 
Fahlenbrach  
 
3h 
 
 
 
 
 
 
During the semester
4
 

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