Mathematics for Finance
This PhD Track consists of a five-year training program. It starts with a two-year coursework period of time, with core and advanced courses in applied mathematics and data science, focusing on applications in finance and insurance. These courses are taught in English. The program is aimed at students with a strong mathematical background and a desire for research. From the beginning of the program, students benefit from a progressive introduction to academic research, thanks to personalized follow-up and participation in seminars. They also engage in research projects under the supervision of faculty and acquire a first hands-on contact with research. By the end of the second year, they should be at the research frontier within their main areas of specialization and have gained successful research experience. At this stage, they should have written a first research “working paper” for their PhD thesis.
At the end of the second year, the students who have achieved satisfactory academic performances, written a research proposal and clearly identified a potential PhD supervisor within the partner institutions may progress to the dissertation period (three years) of the PhD program.
Language of instruction: English
ECTS: 120 for the first 2 years of MSc
Duration: 2 years (coursework period, followed by the three-year dissertation phase).
Courses Location: IP Paris – Ecole Polytechnique, ENSAE Paris, ENSTA Paris, Telecom Paris
The goal of this program is to provide an advanced training in the mathematical modeling in economics, finance and actuarial science at the highest international level with a strong emphasis on advanced quantitative methods for both theoretical and empirical analyses.
During the first year, students acquire a solid background in the fields of applied mathematics and data science – lectures in probability, mathematical statistics, stochastic processes, numerical methods, econometrics, machine learning, optimization, etc – and they follow first courses in asset pricing and risk theory. The last term is mainly dedicated to a research internship.
During the second year, the PhD track offers dedicated advanced courses. Students also specialize by selecting fields and specialization courses in a variety of sub-areas of mathematical economics, finance and/or actuarial studies. In some of these courses, they hand in supplementary work based on study of academic literature and on personal research. Some examples of potential areas of specialization are:
- Financial mathematics and risk management
- Financial econometrics
- Machine Learning for finance and insurance
- Financial regulation
- Green and sustainable Finance
- Life and non-life insurance studies
- Interaction models in economics and finance
Throughout the second year, students will regularly spend time within the research centers and will be allocated an individual advisor among the program faculty. They regularly attend the joint IP Paris research seminars in finance, conduct a research project and write a master’s dissertation under the supervision of a faculty member.
Every year, the program of every student has to be discussed and validated by his/her tutor, who is a member of the IP Paris faculty. According to the student’s specialization wishes, the course program will be individualized as much as possible.
First semester (S1):
- Machine Learning (introduction & advanced)
- Time series: linear time series, ARMA
- Statistics 1: inference, M-estimation, bayesian estimation
- Stochastic calculus
- Stochastic processes
- Econometrics 1: the linear regression model and extensions.
Second semester (S2):
- Introduction to mathematical finance: Black-Scholes asset pricing
- Risk theory
- Simulation and Monte-Carlo methods
- Statistics 2: statistical tests and robustness
- Econometrics 2: Nonlinear models, qualitative data, and panel methods.
Research internship at CREST: 12 ECTS, 12 weeks minimum.
The courses will mainly be chosen among the IP Paris master programs “Statistics, Finance & Actuarial Studies” or “Probability and Finance”. Some of them can be part of the programs in quantitative finance offered by the IP Paris institutional partners, or even other advanced courses (to be discussed with the tutor).
Some of the specialization courses may be replaced by research reading groups lead by faculty members (with the permission of the program director).
Students attend at least one research seminar series at CREST (ENSAE Paris), CMAP (Ecole Polytechnique) or ENSTA Paris throughout the year (2 ECTS).
Dissertation (20 ECTS)
Students start writing a research paper (master thesis) under the supervision of a faculty member.
- Center for Research in Economics and Statistics (CREST)
- Applied Mathematics Center (CMAP)
- Applied Mathematics UER (UMA)
The program prepares students to start their doctoral dissertation at the end of the second year. Although the program is mainly designed as the coursework period of the PhD program, some students may decide, at the end of the two years, to look for job opportunities. Given the wide variety of courses, seminars, projects and internships proposed during the master, there are many job opportunities available, typically in financial institutions and insurance companies.
- Banque de France
- Société Générale
Licence/BSc (or equivalent diploma) in mathematics or statistics with highest honors. Evidence of research potential is essential as the main goal of such a PhD program is to train first class researchers. We expect competition to join the program to be high; therefore, even strong results in a very good bachelor program may not guarantee admission to the program.
Students who have completed the first year of an equivalent program may exceptionally be directly admitted to the second year (4-year PhD program).
English Level B2 (Students who studied in English speaking Colleges are exempted).
The deadline for PhD Track application is February 28, 2020 – Extended to March 22, 2020
Eligible applicants on the basis of the provided documentation will be contacted for an interview from the 15th of March onwards.
You shall receive an answer 2 months after the application deadline of the session.
Successful applicants will obtain a three-year PhD scholarship for year 3 to 5.