MATH-431: Theory of stochastic calculusIntroduction to the mathematical theory of stochastic calculus: construction of the Ito stochastic integral, proof of the Ito formula, introduction to stochastic differential equations, Girsanov's theorem and the Feynman-Kac formula, the martingale represe ...
FIN-415: Probability and stochastic calculusThis course gives an introduction to probability theory and stochastic calculus in discrete and continuous time. The fundamental notions and techniques introduced in this course have many applications in finance, for example for option pricing, risk mana ...
FIN-404: DerivativesThis course provides a detailed presentation of the standard models for the valuation and hedging of derivatives products such as European options, American options, forward contracts, futures contract and exotic options. ...
CS-439: Optimization for machine learningThis course teaches an overview of modern optimization methods, for applications in machine learning and data science. In particular, scalability of algorithms to large datasets will be discussed in theory and in implementation. ...
FIN-601: Theoretical corporate financeThe aim of this course is to expose students to important topics in the literature on corporate finance. The objective of the course is to give students a working understanding of key papers and to expose students to solution techniques to be applied in th ...
MATH-487: Introduction to multi-scale stochastic dynamicsThis course introduces slow/fast systems and the mathematical tools used to derive effective equations governing their behaviour. Students will learn core concepts and techniques for rigorously analysing complex stochastic multi-scale systems. ...
MATH-101(g): Analysis IÉtudier les concepts fondamentaux d'analyse et le calcul différentiel et intégral des fonctions réelles d'une variable. ...
FIN-407: Machine learning in financeThis course aims to give an introduction to the application of machine learning to finance, focusing on the problems of portfolio optimization, return prediction, and textual analysis. A particular focus will be on deep learning and the practical details o ...
ME-427: Networked control systemsThis course offers an introduction to control systems using communication networks for interfacing sensors, actuators, controllers, and processes. Challenges due to network non-idealities and opportunities offered by communication will be analyzed. ...
MATH-414: Stochastic simulationThe student who follows this course will get acquainted with computational tools used to analyze systems with uncertainty arising in engineering, physics, chemistry, and economics. Focus will be on sampling methods as Monte Carlo, quasi Monte Carlo, Mark ...
MATH-470: Martingales in financial mathematicsThe aim of the course is to apply the theory of martingales in the context of mathematical finance. The course provides a detailed study of the mathematical ideas that are used in modern financial mathematics. Moreover, the concepts of complete and incompl ...
MATH-101(a): Analysis IÉtudier les concepts fondamentaux d'analyse et le calcul différentiel et intégral des fonctions réelles d'une variable. ...
MATH-101(e): Analysis IÉtudier les concepts fondamentaux d'analyse et le calcul différentiel et intégral des fonctions réelles d'une variable. ...
MATH-101(f): Analysis IÉtudier les concepts fondamentaux d'analyse et le calcul différentiel et intégral des fonctions réelles d'une variable. ...
FIN-622: Big Data and Machine Learning for Financial EconomicsThis class is an introduction to Machine Learning and High Dimensional Statistics in Finance. We start with purely empirical approach, focusing first on high dimensional regressions then moving to kernel methods and deep learning, and then study equilibriu ...
MATH-106(a): Analysis IIÉtudier les concepts fondamentaux d'analyse et le calcul différentiel et intégral des fonctions réelles de plusieurs
variables. ...
MATH-106(c): Analysis IIÉtudier les concepts fondamentaux d'analyse et le calcul différentiel et intégral des fonctions réelles de plusieurs
variables. ...
