Responsables d'option :
Eduardo Abi-Jaber et Fabrice Djete
Mail : map595@meslistes.polytechnique.fr
Coordinatrice des Enseignements du Département de Mathématiques Appliquées :
Nathalie Rodrigues – nathalie.rodrigues@polytechnique.edu
T. +33 (0)169334607
Les stages proposés en Mathématiques financières se passent en général dans les centres de recherche des salles de marché des banques ou d’autres organismes, tels des fonds d'investissement. Pour certains stages, il est indispensable d’avoir suivi le cours "Modèles stochastiques en finance" de troisième année. Les stages à l’étranger se déroulent soit dans la banque, soit dans des centres de recherche académiques.
Certains stages nécessitent plusieurs entretiens avec différentes équipes.
Exemples de stages proposés les années précédentes :
En France
-
AXA
Optimisation de stratégie tarifaire -
CMAP
Principal-Agent à plusieurs agents et à une dynamique de sauts. Applications à la structuration et la tarification des contrats d'électricité -
CREDIT SUISSE
Méthodes génétiques pour l'optimisation de portefeuilles -
KEPLER CHEVREUX
Dynamiques de données de carnet d'ordres et détection d'algorithmes -
SOCIETE GENERALE
Pricing de produits structurés très long terme -
UNIVERSITE PARIS 7
Modèles financiers avec arbitrage, application à la gestion actif-passif long terme
A l'étranger
-
BLOOMBERG LP
Calibration of a Path Dependent Volatility model to the VIX and S&P markets* -
BNP PARIBAS London Branch
Models for Overnight indexed swap rates and Libor dynamics, and related Market risk -
BRITISH PETROLEUM
Application de techniques de Machine Learning à la méthode de Monte-Carlo des moindres carrés - DEUTSCHE BANK Londres
Pricing and risk management of interest rate derivatives - GOLDMAN SACHS
Predictive flow Analytics & inventory optimization - IMC Trading
Identification of the impact of market participants on the European Futures Market - JANE STREET
The volume synchronized probability of informed trading - JP MORGAN
Capital optimization, funding optimization, derivates clearing businesses, credit value adjustement - JUMP TRADING INTERNATIONAL
Latent order book in the context of market impact and liquidity drought - MONASH UNIVERSITY
Option pricing with linear market impact - SQUAREPOINT CAPITAL
Multi-period portfolio optimization to manage tail risk in equities - UNIVERSITY OF OXFORD
Numerics for the robust pricing and hedging problem in discrete time
Professors in charge of the option:
Eduardo Abi-Jaber et Fabrice Djete
Mail : map595@meslistes.polytechnique.fr
Teaching coordinator of Mathematics Applied Departement :
Nathalie Rodrigues – nathalie.rodrigues@polytechnique.edu
T. +33 (0)169334607
Internships offered in Financial mathematics generally take place in centers of research of banks or other organisms, such as investment funds. For some internships, it is mandatory to have taken the Year-3 course of "Stochastic models in finance". Internships abroad take place either in the bank or in academical centers of research.
Some internships require several interviews with different teams.
Example of internships of the earlier years:
En France
-
AXA
Optimization of pricing strategy -
CMAP
Principal-Agent to several agents and to a jump dynamic. Applications to the structuing and pricing of electricity contracts
CREDIT SUISSE
Genetical methods for portfolio optimization - KEPLER CHEVREUX
Dynamics of order-book data and algorithm detection -
SOCIETE GENERALE
Pricing de produits structurés très long terme -
UNIVERSITE PARIS 7
Financial models with arbitraging, application to long-term asset and liability management
Abroad
-
BLOOMBERG LP
Calibration of a Path Dependent Volatility model to the VIX and S&P markets -
BNP PARIBAS London Branch
Models for Overnight indexed swap rates and Libor dynamics, and related Market risk -
BRITISH PETROLEUM
Application de techniques de Machine Learning à la méthode de Monte-Carlo des moindres carrés -
DEUTSCHE BANK Londres
Pricing and risk management of interest rate derivatives -
GOLDMAN SACHS
Predictive flow Analytics & inventory optimization - IMC Trading
Identification of the impact of market participants on the European Futures Market -
JANE STREET
The volume synchronized probability of informed trading -
JP MORGAN
Capital optimization, funding optimization, derivates clearing businesses, credit value adjustement -
JUMP TRADING INTERNATIONAL
Latent order book in the context of market impact and liquidity drought -
MONASH UNIVERSITY
Option pricing with linear market impact -
SQUAREPOINT CAPITAL
Multi-period portfolio optimization to manage tail risk in equities -
UNIVERSITY OF OXFORD
Numerics for the robust pricing and hedging problem in discrete time
- Teaching coordinator: Abi Jaber Eduardo
- Teaching coordinator: Djete Mao Fabrice