"Probability & Finance" section of the Université Pierre & Marie Curie (Paris 6)

(Directors: N. El Karoui - G. Pagès - M. Yor)


The aim of the "Probability & Finance" section of the DEA "Probability & Applications" is to provide high level courses in Mathematical Finance. It is focused on Mathematical investment Finance, with two main topics: derivative securities and the modelling of interest rates.

We supply the mathematical tools which are necessary to handle the increasing complexity and technical nature of the financial markets: stochastic calculus (for Ito and Levy processes), numerical probability, and statistics. During the first semester, students must attend 6 courses in mathematics covering the above fields, 3 courses in finance and 2 optional "advanced" courses from the list below.

The second semester (from April to September) is devoted to an internship (training course) in either a bank, a financial institution or an insurance company.
More information can be found on our web site http://deafinance.proba.jussieu.fr

Upgrading Courses (Pre-registration obligatory)

  • L.BIRGÉ : Elements of Statistics (Obligatory, 21 hours of classes)
  • T.DUQUESNE : Intensive Probability Course (18 hours of classes)
  • J.PORTES : Introduction to C++ (18 hours of classesTP)

  • UE Probability and Stochastic Calculus for Finance (165h, 15 ECTS)

  • Ph. BOUGEROL : Introduction to diffusion processes (48 hours of classes)
  • G. PAGÈS - V. LEMAIRE - B. WILBERTZ : Numerical Probability for Finance (36 hours of classes + a project).
  • J. PRINTEMS : Numerical methods for P.D.E.. Application to financial markets (24 hours of classes)
  • N. TOUZI : Large Optimization and Stochastic Control

  • UE Modelling for Finance (120 hours of classes, 15 ECTS)

  • J.-F. DELMAS - P.TANKOV : Risk & Extreme measures (18 hours of classes).
  • N. EL KAROUI : Stochastic processes and derivatives (36 hours of classes)
  • J.-P. INDJEHAGOPIAN : Econometry for financial data (24 hours of classes)
  • V. LACOSTE : Financial markets and financial theory

  • UE optional courses

    The optional courses proposed below may change every year. They follow the recent developments in mathematical finance, as well as new problems arising within the markets. They are set to commence in February and March.

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