Financial engineering 2021-22

Master project

Courses
Language
Master 1
l
e
p
Master 2
l
e
p
MP Autumn
l
e
p
MP Spring
l
e
p
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 / Section IF
Profs divers
EN
-
-
320h
-
-
320h
-
-
320h
-
-
320h
Winter/Summer session
Term paper
0
Master project in Financial Engineering
FIN-599 / Section IF
Profs divers
EN
-
-
-
-
-
-
-
-
900h
-
-
900h
Winter/Summer session
Oral
30

Block 1

Courses
Language
Master 1
l
e
p
Master 2
l
e
p
Specialization
Exam
Credits
Accounting for finance (MA1 only. Special schedule: see the FE website)
FIN-411 / Section IF
Cauvin
EN
2h
-
-
-
-
-
Winter session
Written
2
Econometrics (For sem. MA1)
FIN-403 / Section IF
Fuster
EN
2h
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
2h
2h
1h
-
-
-
Winter session
Written
6
Macrofinance (For sem. MA1)
FIN-406 / Section IF
Lambertini
EN
2h
1h
-
-
-
-
Winter session
Written
4
Optimization methods (For sem. MA1. Special schedule: see the IF website http://sfi.epfl.ch/mfe/study-plan )
FIN-414 / Section IF
Perazzi
EN
1h
1h
-
-
-
-
Winter session
During the semester
2
Stochastic calculus
FIN-415 / Section IF
Filipovic,Malamud
EN
3h
2h
-
-
-
-
Winter session
Written
6
HSS : Introduction to project
/ Section SHS
Divers enseignants
FR/EN
-
-
-
-
-
-
Winter session
3
HSS : Project
/ Section SHS
Divers enseignants
FR/EN
-
-
-
-
-
-
Summer session
3

Block 2

Courses
Language
Master 1
l
e
p
Master 2
l
e
p
Specialization
Exam
Credits
Advanced derivatives (MA3 only)
FIN-503 / Section IF
Perazzi
EN
2h
1h
-
-
-
-
Winter session
During the semester
4
Derivatives
FIN-404 / Section IF
Hugonnier
EN
-
-
-
3h
2h
-
Summer session
Written
6
Financial econometrics
FIN-407 / Section IF
Gourier
EN
-
-
-
3h
2h
-
Summer session
Written
6
Interest rate and credit risk models (MA3 only)
FIN-416 / Section IF
Filipovic
EN
3h
2h
-
-
-
-
Winter session
Written
6
Investments
FIN-405 / Section IF
Collin Dufresne
EN
-
-
-
3h
2h
-
Summer session
During the semester
6
Quantitative risk management (MA3 only)
FIN-417 / Section IF
Malamud
EN
2h
2h
-
-
-
-
Winter session
Written
4

Group 1

Courses
Language
Master 1
l
e
p
Master 2
l
e
p
Specialization
Exam
Credits
Advanced machine learning
MICRO-570 / Section MT
Billard
EN
-
-
-
3h
1h
1h
Summer session
Oral
4
Advanced numerical analysis
MATH-351 / Section MA
Picasso
EN
2h
2h
-
-
-
-
Winter session
Written
5
Applied data analysis
CS-401 / Section SC
West
EN
2h
-
2h
-
-
-
Winter session
Written
6
Applied machine learning
MICRO-455 / Section MT
Billard
EN
4h
-
-
-
-
-
Winter session
Written
4
Artificial neural networks
CS-456 / Section IN
Gerstner
EN
-
-
-
2h
2h
-
Summer session
Written
5
Causal inference
MGT-416 / Section MTE
Kiyavash
EN
-
-
-
2h
1h
-
Summer session
During the semester
3
Computational finance (MA3 only)
FIN-472 / Section IF
Glau,Goel,Pasricha,Pulido Nino
EN
2h
2h
-
-
-
-
Winter session
Written
5
Cryptography and security
COM-401 / Section SC
Vaudenay
EN
4h
2h
-
-
-
-
Winter session
Written
7
Data science for business (MA3 only)
MGT-432 / Section MTE
Younge
EN
3h
-
1h
-
-
-
Winter session
During the semester
6
Deep learning
EE-559 / Section EL
Fleuret
EN
-
-
-
2h
2h
-
Summer session
Written
4
Ethical behavior in the financial industry (Special schedule: see the IF website http://sfi.epfl.ch/mfe/study-plan )
FIN-419 / Section IF
Nahas
EN
2h
-
-
-
-
-
Winter session
During the semester
2
Financial applications of blockchains and distributed ledgers (Special schedule: see the IF website http://sfi.epfl.ch/mfe/study-plan )
FIN-413 / Section IF
Xu
EN
2h
-
-
-
-
-
Winter session
During the semester
3
Financial big data (MA3 only)
FIN-525 / Section IF
Challet
EN
3h
-
-
-
-
-
Winter session
During the semester
3
Financial intermediation
FIN-420 / Section IF
Fuster
EN
-
-
-
3h
-
-
Summer session
During the semester
4
Fundamentals of machine learning
EE-311 / Section EL
Liebling
FR
-
-
-
2h
-
2h
Summer session
Written
4
Global business environment
FIN-523 / Section IF
Mondragon Minero,Tsiaras
EN
2h
1h
-
-
-
-
Winter session
During the semester
4
Information: strategy & economics (pas donné en 2021-22)
MGT-431 / Section MTE
EN
-
-
-
3h
-
-
Summer session
During the semester
4
Information security and privacy
COM-402 / Section IN
Hubaux,Pyrgelis
EN
3h
1h
2h
-
-
-
Winter session
Written
6
Intelligent agents (pas donné en 2021-22)
CS-430 / Section IN
EN
3h
3h
-
-
-
-
Winter session
During the semester
6
Machine learning
CS-433 / Section IN
Flammarion,Jaggi
EN
4h
2h
-
-
-
-
Winter session
Written
7
Machine learning for finance (MA3 only)
FIN-418 / Section IF
Ackerer
EN
3h
-
-
-
-
-
Winter session
During the semester
3
Machine learning programming
MICRO-401 / Section MT
Billard
EN
-
-
2h
-
-
-
Winter session
During the semester
2
Martingales in financial mathematics
MATH-470 / Section MA
Schmutz
EN
-
-
-
2h
2h
-
Summer session
Oral
5
Mathematical modelling of behavior
MATH-463 / Section MA
Lurkin
EN
2h
2h
-
-
-
-
Winter session
Written
5
Modern regression methods
MATH-408 / Section MA
Davison
EN
-
-
-
2h
2h
-
Summer session
Written
5
Numerical analysis and computational mathematics
MATH-456 / Section MA
Vazquez Hernandez
EN
2h
2h
-
-
-
-
Winter session
Written
4
Numerical approximation of PDEs
MATH-451 / Section MA
Buffa
EN
-
-
-
2h
2h
-
Summer session
Written
5
Numerical integration of stochastic differential equations
MATH-450 / Section MA
Blumenthal
EN
-
-
-
2h
2h
-
Summer session
Written
5
Principles of microeconomics
MGT-454 / Section MTE
Mack
EN
3h
1h
-
-
-
-
Winter session
Written
4
Real options and financial structuring (MA3 only)
FIN-410 / Section IF
Arnold
EN
2h
1h
-
-
-
-
Winter session
During the semester
4
Risk, rare events and extremes
MATH-447 / Section MA
Davison
EN
2h
2h
-
-
-
-
Winter session
Written
5
Statistical inference and machine learning (Once every 2 years. Not given in 2021-22)
MGT-448 / Section MTE
EN
2h
2h
-
-
-
-
Winter session
Written
4
Statistical machine learning
MATH-412 / Section MA
Obozinski
EN
2h
2h
-
-
-
-
Winter session
Written
5
Time series
MATH-342 / Section MA
Olhede
EN
-
-
-
2h
2h
-
Summer session
Written
5
Venture capital (MA3 only)
FIN-522 / Section IF
Fahlenbrach
EN
3h
-
-
-
-
-
Winter session
Written
4