Quantitative Finance


Objectives

A quick test:

  • Do you still enjoy maths?
  • Are you interested in understanding finance?
  • Would you like to work in a challenging rapidly changing environment?
If you answered "yes" to these three questions, then keep on reading.

The Quantitative finance option is designed for students who enjoy maths, and would like to learn about finance and investment banking in order to become traders, structurers, quants or risk managers. It calls for a sound knowledge of probability and stochastic processes, as well as an understanding of finance and a taste for computing.


Content

The program in second year is designed to give students a basic knowledge of quantitative finance, including an overview of derivatives (futures,options, swaps, etc) so that they can do their second year internship in a bank if they wish. In addition to lectures, students do practical work using Excel and Visual Basic.

The program in third year is designed to provide a deeper understanding of the mathematical models used and of financial products than in the previous year. Many of the lectures are given by professionals. The mini-project plays a major role in the third year program. Finance students working in pairs or small groups carry out a study to evaluate a new type of derivative product or to test a new way of pricing derivatives. The subjects treated in past years include:
the evaluation of american options by Monte Carlo simulations, the pricing of barrier options
for forex using stochastic volatility models, the use of copulas in finance and the impact of the lack of liquidity on financial markets.
One of the important facets of learning to be an engineer is being able to communicate one's ideas in English (as well as French). To improve their presentation skills, students are required to give a powerpoint presentation on a current news story or a general topic in finance. In addition, students learn negotiating skills in a two-day game. During the spring vacation of second year , students have the opportunity to go on a study tour of a major financial centre (such as Singapore, Tokyo or Hong Kong) in order to learn more about banks and financial institutions in Asia, and to experience the local culture.
Most students do their final year internship in a bank or a financial institution. In most cases, it consists of evaluating new productq or developing a new way of hedging these products, or alternatively of structuring new products designed to satisfy the needs of corporate clients or investors. The topic must be chosen in October.

Here are some typical final year projects carried out in recent years:

  • Hedging life-insurance products (AXA, Paris)
  • Using the BGM model to evaluate interest rate products (Merrill Lynch, London)
  • Developing pan-European strategies for gas trading (MorganStanley, London)
  • Interest rate derivatives pricing based on the SABR model (Mizuho Corporate Bank, Tokyo)
  • Options on realised volatility (Barclays Capital, Hong Kong)
  • Modelling the dynamics of implied volatility (BRED, Paris)
  • Structuration de produits drivs action (HSBC, Paris)
  • Dividend swaps and options dividends (Bank of America-Merrill Lynch, Hong Kong)
  • Developing arbitrage strategies for Hedge Funds (Socit Gnrale, Paris)
  • Studying of derivatives based on a basket of equities (Blue Crest Capital Management, London)
  • Monitoring gap risk (Socit Gnrale, Paris)
  • Pricing & hedging basket options (Calyon, Paris)
  • Modelling derivatives based on energy & metals (MorganStanley, London)
  • Dynamic balancing of portfolios of managed futures (Numbers Alternative Management, Paris).

Program Language Duration Supervisors
French 266 Hours Margaret Armstrong
Alain Galli
ECTS Credits : 42

Last modification :Friday February 25 2011