FIN-525: Financial big dataThe course introduces modern methods to acquire, clean, and analyze large quantities of financial data efficiently. The second part expands on how to apply these techniques and robust statistics to financial analysis, in particular to intraday data and inv ...
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-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 ...
MGT-581: Introduction to econometricsThe course provides an introduction to econometrics for economics and financial applications. The objective is to learn how to make valid (i.e., causal) inference from economic and social data. ...
MATH-301: Ordinary differential equationsCe cours donne une introduction rigoureuse au principaux thèmes de la théorie des équations différentielles ordinaires (EDO). Les EDO sont fondamentales pour l'étude des systèmes dynamiques et des équations aux dérivées partielles. Des applications dans ce ...
FIN-423: Financial machine learning projectsThe objective of this course is to acquire experience in financial machine learning by solving real-world problems. Different groups of students will work on different industry projects during the semester. Lectures will discuss best practices and tools. ...
FIN-414: Optimization methodsThis course presents the problem of static optimization, with and without (equality and inequality) constraints, both from the theoretical (optimality conditions) and methodological (algorithms) point of view. Economics and financial applications are provi ...
FIN-403: EconometricsThe course covers basic econometric models and methods that are routinely applied to obtain inference results in economic and financial applications. ...
FIN-472: Computational financeParticipants of this course will master computational techniques frequently used in mathematical finance applications. Emphasis will be put on the implementation and practical aspects. ...
FIN-418: Machine learning for financeThis course is introduces machine learning techniques for financial applications in algorithmic trading, derivatives pricing, model calibration, hedging, and risk management. The course format is hands on coding sessions in Python (Keras, Tensorflow, and S ...
