One of the specific features of the Financial Modelling scientific programme is to bring together researchers from different backgrounds : economists, econometricians, physicists and mathematicians.
However, there is a very strong synergy between the team members as shown by the large number of publications attached. From a general point of view, the fields of research of the scientific programme cover :
- Corporate finance, risk definition and management, performance measurement.
- Market finance (asset price modelling, stochastic volatility processes, high frequency trading, quantitative portfolio management, risk measurement, etc.).
- Econometrics and financial econometrics (introduction of new tools for time series analysis).
- Behavioural finance, through experiments aimed at better understanding risk behaviour.
- Systemic risk analysis and banking regulation.
- The relationship between finance and energy.
The knowledge thus acquired by all the researchers in the scientific programme is disseminated to students through 5 main courses :
- The Master’s degree in econometrics MoSEF (Modélisations Statistiques Economiques et Financières) of the UFR02 (M1 and M2).
- The course Monnaie Banque Finance of the same UFR (M1 and M2).
- The M2 MMMEF (Modélisation et Méthodes Mathématiques en Economie), IRFA (Ingénierie du Risque, Finance, Assurance) and QEM (Models and Methods in Quantitative Economics – Master Erasmus Mundus) of the UFR27.
The permanent members of the scientific programme (5/7 of whom are qualified to direct research) supervise on average a total of 15 PhD students.
Finally, the Financial Modelling scientific programme maintains close links with industry (CIFRE theses, conference on regulation, associate members, etc.), which enables its members to benefit from the field experience they need to refine their expertise and maintain the relevance of their work in finance.