Institut Polytechnique de Paris
Ecole Polytechnique ENSTA ENSAE Télécom Paris Télécom SudParis

Master Year 2 Statistics, Finance and Actuarial Science

Master Year 2 Statistics, Finance and Actuarial Science
Year

Master Year 2

Program

Statistics, Finance and Actuarial Science

ECTS Credits

60

Language

English and French

Orientation

Industry and Research

Location

Palaiseau Campus

Course duration

12 months, full time

Course start

September

Degree awarded

Master’s degree

WHY ENROLL IN THIS PROGRAM?

Asset n° 1 

Master cutting-edge techniques, theories and practical tools relating to applications in finance and insurance or a research career in academia or industry

Asset n°2

Qualify for a PhD through PhD track in Mathematics for Finance and expand your horizons by combining courses from the M2 Probability and Finance with M2 Data Sciences for Artificial Intelligence

Asset n°3

On completing a subset of specialized courses, obtain an accreditation as an actuary from the French Institute of Actuaries

Stochastic models are intensively used in financial institutions and insurance companies. In addition to model specifications, accurate statistical methods are crucial for estimation, calibration and forecasting. This trend has recently been accentuated by the rise of data science and machine learning.

The Statistics, Finance and Actuarial Science Master’s program aims to train high-level specialists in the fields of random modelling and risk management to meet the needs of all types of financial institutions including banks, insurance companies, asset managers and hedge funds. To achieve this ambitious goal, a strong level in probability and statistics is required. The curriculum is organized around core courses in time series, machine learning, risk management, actuarial science and mathematical finance.

Find more information on the program website

Objectives

This program allows students to:

  • Acquire all the necessary mathematical and cultural tools to meet the evolving needs of financial markets
  • Grasp the complexity of the mathematical tools (probabilistic, statistical or numerical) used
  • Deepen their knowledge of technical fields up to the frontier of research

On graduating, students will be equipped to pursue a career requiring:

  • Random modelling and risk management for all types of financial institutions including banks, insurance companies, asset managers and hedge funds

 

Core courses

All core courses will be taught in English.

The students have to validate at least five courses in this group.

Financial time series

5 ECTS

English

 

Financial Econometrics

4 ECTS

English

Pricing and hedging of financial derivatives

4 ECTS

English

Introduction to Risk Management

3 ECTS

English

Advanced Machine Learning

4 ECTS

English

 

Elective courses

The students are advised to validate at least one course in each of the following groups of courses : "Financial Time Series", "Mathematical Finance", "Risks in Finance and Insurance" and "Statistics and Machine Learning". Therefore, they will be able to delve deeper into a wide range of topics. All elective courses will be taught in English, with some exceptions in the group "Actuarial Science" below.

Actuarial study of non-life insurance

4 ECTS

English

Actuarial study of life insurance

4 ECTS

English

Microeconomic theory of insurance

3 ECTS

English

Physics of financial markets

3 ECTS

English

Algorithmic trading

3 ECTS

English

Financial markets: an introduction to Econophysics

3 ECTS

English

Dynamic Statistical models with hidden variables

3 ECTS

English

Dynamic optimization and reinforcement learning

3 ECTS

English

Stochastic calculus

5 ECTS

English

Modeling and managing energy risks

2 ECTS

English

Risk measures

2 ECTS

English

Duration models

3 ECTS

English

Copulas and financial applications

3 ECTS

English

Risk theory

2 ECTS

English

Hidden Markov models and Sequential Monte-Carlo methods

3 ECTS

English

High-dimension statistics

4 ECTS

English

Core courses

GARCH and stochastic volatility models

3 ECTS

English

Statistics of diffusion processes

5 ECTS

English

Extreme-value theory

3 ECTS

English

 

Elective courses

 

Actuarial study of pensions

2 ECTS

français

Regulation and insurance

2 ECTS

français

Risk management and reinsurance

3 ECTS

English

High frequency data and order books

3 ECTS

English

Forecast Evaluation and Model Selection

3 ECTS

English

Numerical methods in financial engineering

3 ECTS

English

Econometrics of Commodity and Asset Pricing

3 ECTS

English

Levy processes and financial applications

3 ECTS

English

Interest rate curve models

4 ECTS

English

Portfolio Management

3 ECTS

English

Credit risk

3 ECTS

English

Extreme-value theory

3 ECTS

English

Green Finance

3 ECTS

English

Risk management and reinsurance

3 ECTS

English

Artificial intelligence for actuarial studies

3 ECTS

English

Online learning and aggregation

3 ECTS

English

Machine learning for finance

4 ECTS

English

Data challenges in actuarial science and regulation

2 ECTS

English

 

Internship

At the end and as a complement to their theoretical studies, the students will validate an internship in a company or a research center. They will work on a quantitative topic during three to six months. Even if a lot of offers are proposed by financial institutions (banks, insurance companies, asset managers, etc), others are coming from industrial sectors, consulting firms, software editors, etc.

The students who are motivated by academic research and who would like to start a PhD will be able to validate an innovative research work as their internship. Most of the time, such a work will represent the starting point of their thesis.

Internships occur from early May until end October.

Any student will work under the supervision of a professional, and will stay in relation with a member of the master staff. At the end of their internship period, the student will make a defense in front of a jury, where professionals and academics will be present. The result of such a defense will determine largely the completion of the degree.

The internship counts for 14 ECTS.

 

Admission requirements

Academic prerequisites

Completion of the first year of a Master in mathematics at Institut Polytechnique de Paris or equivalent in France or abroad.

Language prerequisites

  • English
  • French

How to apply

Applications can be submitted exclusively online. You will need to provide the following documents:

  • Transcript
  • Two academic references (added online directly by your referees)
  • CV/resume
  • Statement of purpose

You will receive an answer in your candidate space within 2 months of the closing date for the application session.

Fees and scholarships

  • EU/EEA/Switzerland students: 4243€
  • Non-EU/EEA/Switzerland students: 6243€
  • Engineer students enrolled in one of the five member schools of Institut Polytechnique de Paris (Ecole polytechnique, ENSTA Paris, ENSAE Paris, Télécom Paris and Télécom SudParis): 159€
  • Special cases: please refer to the "Cost of studies" of the FAQs

Find out more about scholarships

Applications and admission dates

Coordinators

Christian Francq (ENSAE)

Christian-Yann Robert (ENSAE)

Program office

Nicolas Apoteker

General enquiries

master-admission@ip-paris.fr

Description

Stochastic models are intensively used in financial institutions and insurance companies. In addition to model specifications, accurate statistical methods are crucial for estimation, calibration and forecasting. This trend has recently been accentuated by the rise of data science and machine learning.

The Statistics, Finance and Actuarial Science Master’s program aims to train high-level specialists in the fields of random modelling and risk management to meet the needs of all types of financial institutions including banks, insurance companies, asset managers and hedge funds. To achieve this ambitious goal, a strong level in probability and statistics is required. The curriculum is organized around core courses in time series, machine learning, risk management, actuarial science and mathematical finance.

Find more information on the program website

Objectives

This program allows students to:

  • Acquire all the necessary mathematical and cultural tools to meet the evolving needs of financial markets
  • Grasp the complexity of the mathematical tools (probabilistic, statistical or numerical) used
  • Deepen their knowledge of technical fields up to the frontier of research

On graduating, students will be equipped to pursue a career requiring:

  • Random modelling and risk management for all types of financial institutions including banks, insurance companies, asset managers and hedge funds

 

Core courses

All core courses will be taught in English.

The students have to validate at least five courses in this group.

Financial time series

5 ECTS

English

 

Financial Econometrics

4 ECTS

English

Pricing and hedging of financial derivatives

4 ECTS

English

Introduction to Risk Management

3 ECTS

English

Advanced Machine Learning

4 ECTS

English

 

Elective courses

The students are advised to validate at least one course in each of the following groups of courses : "Financial Time Series", "Mathematical Finance", "Risks in Finance and Insurance" and "Statistics and Machine Learning". Therefore, they will be able to delve deeper into a wide range of topics. All elective courses will be taught in English, with some exceptions in the group "Actuarial Science" below.

Actuarial study of non-life insurance

4 ECTS

English

Actuarial study of life insurance

4 ECTS

English

Microeconomic theory of insurance

3 ECTS

English

Physics of financial markets

3 ECTS

English

Algorithmic trading

3 ECTS

English

Financial markets: an introduction to Econophysics

3 ECTS

English

Dynamic Statistical models with hidden variables

3 ECTS

English

Dynamic optimization and reinforcement learning

3 ECTS

English

Stochastic calculus

5 ECTS

English

Modeling and managing energy risks

2 ECTS

English

Risk measures

2 ECTS

English

Duration models

3 ECTS

English

Copulas and financial applications

3 ECTS

English

Risk theory

2 ECTS

English

Hidden Markov models and Sequential Monte-Carlo methods

3 ECTS

English

High-dimension statistics

4 ECTS

English

Core courses

GARCH and stochastic volatility models

3 ECTS

English

Statistics of diffusion processes

5 ECTS

English

Extreme-value theory

3 ECTS

English

 

Elective courses

 

Actuarial study of pensions

2 ECTS

français

Regulation and insurance

2 ECTS

français

Risk management and reinsurance

3 ECTS

English

High frequency data and order books

3 ECTS

English

Forecast Evaluation and Model Selection

3 ECTS

English

Numerical methods in financial engineering

3 ECTS

English

Econometrics of Commodity and Asset Pricing

3 ECTS

English

Levy processes and financial applications

3 ECTS

English

Interest rate curve models

4 ECTS

English

Portfolio Management

3 ECTS

English

Credit risk

3 ECTS

English

Extreme-value theory

3 ECTS

English

Green Finance

3 ECTS

English

Risk management and reinsurance

3 ECTS

English

Artificial intelligence for actuarial studies

3 ECTS

English

Online learning and aggregation

3 ECTS

English

Machine learning for finance

4 ECTS

English

Data challenges in actuarial science and regulation

2 ECTS

English

 

Internship

At the end and as a complement to their theoretical studies, the students will validate an internship in a company or a research center. They will work on a quantitative topic during three to six months. Even if a lot of offers are proposed by financial institutions (banks, insurance companies, asset managers, etc), others are coming from industrial sectors, consulting firms, software editors, etc.

The students who are motivated by academic research and who would like to start a PhD will be able to validate an innovative research work as their internship. Most of the time, such a work will represent the starting point of their thesis.

Internships occur from early May until end October.

Any student will work under the supervision of a professional, and will stay in relation with a member of the master staff. At the end of their internship period, the student will make a defense in front of a jury, where professionals and academics will be present. The result of such a defense will determine largely the completion of the degree.

The internship counts for 14 ECTS.

 

Admission requirements

Academic prerequisites

Completion of the first year of a Master in mathematics at Institut Polytechnique de Paris or equivalent in France or abroad.

Language prerequisites

  • English
  • French

How to apply

Applications can be submitted exclusively online. You will need to provide the following documents:

  • Transcript
  • Two academic references (added online directly by your referees)
  • CV/resume
  • Statement of purpose

You will receive an answer in your candidate space within 2 months of the closing date for the application session.

Fees and scholarships

  • EU/EEA/Switzerland students: 4243€
  • Non-EU/EEA/Switzerland students: 6243€
  • Engineer students enrolled in one of the five member schools of Institut Polytechnique de Paris (Ecole polytechnique, ENSTA Paris, ENSAE Paris, Télécom Paris and Télécom SudParis): 159€
  • Special cases: please refer to the "Cost of studies" of the FAQs

Find out more about scholarships

Applications and admission dates

Coordinators

Christian Francq (ENSAE)

Christian-Yann Robert (ENSAE)

Program office

Nicolas Apoteker

General enquiries

master-admission@ip-paris.fr