MAP595 - Mathématiques financières (2023-2024)

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