Curriculum and list of courses in brief - Master | EPFL

COLLEGE OF MANAGEMENT OF TECHNOLOGY
http://master.epfl.ch/financial or http://mfe.epfl.ch
Contact: francoise.jeannotat@epfl.ch
Master of Science in
FINANCIAL ENGINEERING
FINANCIAL GLOBALIZATION AND NEW MARKET DEVELOPMENTS GIVE
RISE TO NEW REQUIREMENTS IN RISK MANAGEMENT, ASSET MANAGE-
MENT, DERIVATIVES PRICING AND HEDGING, AS WELL AS THE NEED TO
PROVIDE BETTER TOOLS TO IMPROVE FINANCIAL DECISION MAKING.
FINANCIAL INSTITUTIONS REQUIRE SPECIALISTS WITH AN UNDERSTAN-
DING OF COMPLEX FINANCIAL STRATEGIES AND MODELING SKILLS,
WITH COMPUTATIONAL EXPERTISE AND PRACTICAL KNOW-HOW. AT
THE SAME TIME THEY NEED ASSOCIATES WHO CAN GRASP THE SIGNIFI-
CANCE OF FINANCIAL OPERATIONS IN THE BIGGER PICTURE. THE MAS-
TER IN FINANCIAL ENGINEERING (MFE) AT EPFL IS DESIGNED TO MEET
THESE DEMANDS.
2-year program
120 ECTS
Foundation courses
34 ECTS
In-depth coverage of key concepts and
topics
Advanced courses
42 ECTS
Important aspects of finance and financial
engineering
Electives
Master’s thesis in industry
14 ECTS
30 ECTS
CURRICULUM
Financial engineering is an interdisciplinary field that integrates methods and
knowledge from mathematics, statistics, economics, operations research,
and computer science. The curriculum of the Master in Financial Engineering
is designed to provide a solid understanding of financial markets and allows
students to acquire in-depth knowledge of complex financial strategies, risk
management and financial modeling. The coursework is divided into three
parts: core and advanced courses as well as a broad range of electives to
tailor the program to the area of interest. A mandatory 6-month internship
with master thesis in the financial industry concludes the program.
Emphasizing a fundamental appreciation of concepts and tools, the curriculum
of the Master in Financial Engineering not only aims to provide students
with the quantitative skills and methodologies necessary for a career in financial
engineering, but also fosters an understanding of the responsibilities
that come with the profession of a financial engineer.
CAREER PROSPECTS
Graduates will gain, among other competencies, a good grasp of pricing of securities,
structured products, corporate finance, risk management tools, market
mechanisms, and will be ready to innovate. As such, they will have the perfect
profile to join rapidly banks, investment and hedge funds, re-insurance companies,
financial software firms, consulting and auditing firms, etc.
ENROLMENT PROCEDURE AND ENTRY REQUIREMENTS
Candidates should have a solid background in mathematical analysis, statistics
and probability theory. Holders of a Bachelor’s degree in sciences and engineering
from a reputable university can apply to the Master in Financial Engineering.
All candidates need to submit an application file.
Application deadlines each year: January 15 and April 15
Online application: http://master.epfl.ch/application
Tuition fees amount to CHF 633.-/semester.

COLLEGE OF MANAGEMENT OF TECHNOLOGY
http://master.epfl.ch/financial or http://mfe.epfl.ch
Contact: francoise.jeannotat@epfl.ch
Master of Science in
FINANCIAL ENGINEERING
Courses organized by the College of
Management of Technology in collaboration
with the programs of Mathematics
and Computer Science.
2-year curriculum :
• 1 1/2 year coursework
• 1/2 year Master’s thesis project in collaboration
with industrial partners
FOUNDATION COURSES - 34 ECTS CODE FACULTY CREDITS LANGUAGE
Econometrics FIN-403 L.Mancini 6 EN
Introduction to finance (only for IF students) FIN-401 R.Fahlenbrach 6 EN
Macrofinance FIN-406 L.Lambertini 6 EN
Quantitative methods in finance FIN-402 C.Ravanelli 6 EN
Stochastic calculus I FIN-408 S.Malamud 4 EN
Project in human and social sciences various 6 FR or EN
ADVANCED COURSES - 42 ECTS CODE FACULTY CREDITS LANGUAGE
Advanced derivatives FIN-503 A.Trolle 4 EN
Credit risk FIN-504 P.Collin-Dufresne 4 EN
Derivatives FIN-404 J.Hugonnier 6 EN
Behavioral finance FIN-422 L.Goette 2 EN
Financial Econometrics FIN-407 E.Jondeau 6 EN
Fixed income analysis FIN-505 D.Filipovic 6 EN
Investments FIN-405 A.Trolle 6 EN
Real options and financial structuring FIN-410 P.Valta 4 EN
Stochastic calculus II FIN-409 D.Filipovic 4 EN
OPTIONAL SUBJECTS - 14 ECTS CODE FACULTY CREDITS LANGUAGE
Advanced topics in financial econometrics FIN-521 L.Mancini 4 EN
Computational game theory & applications CS-436 B.Faltings 4 EN
Financial & managerial accounting MGT-481 A.Siegrist 4 EN
Global business environment FIN-523 L.Lambertini 4 EN
Intelligent Agents CS-430 B.Faltings 6 EN
Mathematical modelling of behavior MATH-463 M.Bierlaire 4 EN
Quantitative risk management MATH-471 TBA 4 EN
Securitization & the financial crisis FIN-524 L.Gauthier 2 EN
Time series MATH-342 A.Davison 4 EN
Venture Capital FIN-522 R.Fahlenbrach 4 EN
Document subject to changes at any time. Please refer to the official study plans and rules published by the Registrar’s Office (see http://sac.epfl.ch)
© EPFL /07.2012