Study Plan MFE

Important information – Spring semester 2019-2020

Note that for some courses, withdrawal is not allowed once the registration deadline has passed. These courses are tagged “no withdrawal” (“sans retrait”) on the study plan and will be highlighted with an alert in the registration tab on is-academia.
The course “Financial econometrics” will be taught as follows: Lecture: Thursday 9h15-12h and 13h15-16h, on the following dates: 20.2 – 5.3 – 19.3 – 2.4 – 23.4 – 7.5 – 14.5 Exercise: Thursday 10h15-12h and 13h15-15h, on the following dates: 27.2 – 12.3 – 26.3 – 9.4 – 30.4 – 28.5. Warning: on 28.5, the schedule will be 9h15-12h and 13h15-16h.

Ingénierie financière 2019-20

Master project

Courses

Code

Programs

Lecturers

Specialisation

Master 1

l

e

p

Master 2

l

e

p

MP Autumn

l

e

p

MP Spring

l

e

p

Exam

Credits

Engineering internship credited with master project (master in Financial Engineering) (Stage d'au minimum 8 semaines. Inscription en principe par la bourse au stages, sinon en s'adressant à la section)

FIN-598

IF

Profs divers

320h

320h

320h

320h

Term paper

0

Master project in Financial Engineering

FIN-599

IF

Profs divers

900h

900h

Oral

30

Block 1

Courses

Code

Programs

Lecturers

Specialisation

Master 1

l

e

p

Master 2

l

e

p

Exam

Credits

Accounting for finance (For sem. MA1. Special schedule: see the IF website http://sfi.epfl.ch/mfe/study-plan )

FIN-411

IF

Cauvin

2h

Written

2

Econometrics (For sem. MA1)

FIN-403

IF

Semadeni

2h

2h

Written

4

Introduction to finance (For MA1. OPEN TO IF MASTER, IF MINOR AND IF EXCHANGE STUDENTS ONLY)

FIN-401

IF

Fahlenbrach

3h

2h

Written

6

Macrofinance (For sem. MA1. Special schedule: see the IF website http://sfi.epfl.ch/mfe/study-plan )

FIN-406

IF

Lambertini

2h

2h

Written

4

Optimization methods (For sem. MA1. Special schedule: see the IF website http://sfi.epfl.ch/mfe/study-plan )

FIN-414

IF

Perazzi

1h

1h

During the semester

2

Stochastic calculus

FIN-415

IF

Filipovic

3h

2h

Written

6

HSS : Introduction to project

SHS

Divers enseignants

3

SHS

Divers enseignants

3

Block 2

Courses

Code

Programs

Lecturers

Specialisation

Master 1

l

e

p

Master 2

l

e

p

Exam

Credits

Advanced derivatives (Only for MA3)

FIN-503

IF

Perazzi

2h

1h

During the semester

4

FIN-404

IF

Hugonnier

3h

2h

Written

6

Financial econometrics

FIN-407

IF

Monfort

3h

2h

Written

6

Interest rate and credit risk models (Only in MA3)

FIN-416

IF

Filipovic

3h

2h

Written

6

FIN-405

IF

Collin Dufresne

3h

2h

During the semester

6

Quantitative risk management (Only in MA3)

FIN-417

IF

Malamud

2h

2h

Written

4

Group 1

Courses

Code

Programs

Lecturers

Specialisation

Master 1

l

e

p

Master 2

l

e

p

Exam

Credits

Advanced machine learning

MICRO-570

MT

Billard

2h

1h

1h

Oral

4

Advanced numerical analysis

MATH-351

MA

Picasso

2h

2h

Written

5

Applied data analysis

CS-401

SC

West

2h

2h

Written

6

Applied machine learning

MICRO-455

MT

Billard
Polydoros

4h

Written

4

Computational finance

FIN-472

IF

Glau
Pulido Nino
Statti

2h

2h

Written

5

Cryptography and security

COM-401

SC

Vaudenay

4h

2h

Written

7

Data science for business (only for MA3)

MGT-432

MTE

Younge

3h

1h

During the semester

6

Data science in practice (Special schedule. See the MTE website: http://cdm.epfl.ch/mte/study-plan )

MGT-415

MTE

Bruffaerts

2h

1h

Written

3

Financial applications of blockchains and distributed ledgers (Special schedule: see the IF website http://sfi.epfl.ch/mfe/study-plan )

FIN-413

IF

Xu

2h

During the semester

2

Financial big data (Only for MA3)

FIN-525

IF

Challet

3h

During the semester

3

Fundamentals of machine learning

EE-311

EL

Fleuret
Liebling

2h

Written

4

Global business environment

FIN-523

IF

Lambertini

2h

1h

During the semester

4

Information: strategy & economics (pas donné en 2019-20)

MGT-431

MTE

3h

During the semester

4

Information security and privacy

COM-402

IN

González Troncoso
Hubaux
Oechslin

3h

1h

2h

Written

6

Intelligent agents

CS-430

IN

Faltings

3h

3h

During the semester

6

Machine learning (The first course (September 18) will take place in the Forum of Rolex Learning Center)

CS-433

IN

Jaggi
Urbanke

4h

2h

Written

7

Machine learning for finance (MA3 only)

FIN-418

IF

Ackerer

2h

During the semester

2

Machine learning programming

MICRO-401

MT

Billard

2h

During the semester

2

Mathematical modelling of behavior

MATH-463

MA

Bierlaire

2h

2h

Written

5

Modern regression methods (Course given every two years (given in 2019-20))

MATH-408

MA

Davison

2h

2h

Written

5

Network analytics

MGT-416

MTE

Kiyavash

2h

1h

During the semester

3

Numerical analysis and computational mathematics

MATH-456

MA

Vazquez Hernandez

2h

2h

Written

4

Numerical approximation of PDEs

MATH-451

MA

Dubuis

2h

2h

Written

5

Numerical integration of stochastic differential equations

MATH-450

MA

Blumenthal

2h

2h

Written

5

Principles of microeconomics

MGT-454

MTE

Mack

3h

1h

Written

4

Real options and financial structuring (Only for MA3)

FIN-410

IF

Arnold

2h

1h

During the semester

4

Risk, rare events and extremes (Cous donné en alternance tous les deux ans (donné en 2019-20))

MATH-447

MA

Davison

2h

2h

Written

5

Statistical machine learning

MATH-412

MA

Dehaene
Obozinski

2h

2h

Written

5

MATH-342

MA

Olhede

2h

2h

Written

5

Venture capital (only for MA3)

FIN-522

IF

Fahlenbrach

3h

During the semester

4

FE Rules and regulations 19-20 (En-Fr)

FE study plan 19-20 (En-Fr)

Contact
[email protected]
+41 21 693 0122