Professors in charge of the option:
Stefano De Marco
Email: stages-map595@cmap.polytechnique.fr
Pierre Henry-Labordère
Email: stages-map595@cmap.polytechnique.fr
Nizar Touzi
Email: stages-map595@cmap.polytechnique.fr
Secretariat of the Applied Mathematics Department
Assistant of the departement: Leyla Marzuk
T. +33 (0)169334607 – leyla.marzuk@polytechnique.edu
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
- Profesor: Abi Jaber Eduardo
- Profesor: Djete Mao Fabrice