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OEBU 2085A - Financial Mathematics

Type d'enseignement : Elective

Semester : Spring 2017-2018

Number of hours : 24

Language of tuition : English



Course Description

The purpose of this course is to provide students with the essential tools of financial calculation and statistics. This teaching mainly aims to facilitate the understanding of technical instruments and to some extent their mastery in the specific context of problems encountered in finance and management. The teaching is highly progressive starting from a minimum basic knowledge. This course will develop all aspects required for students to have a "financial general culture".


LEVANNIER, Guillaume (Advisor of the chairman at SCOR)

Pedagogical format

Lectures on the basic principles and theories and some practical tutorials. The limited number of students should guarantee a high level of student-teacher interactivity. Excel spreadsheet will be used in courses on certain topics, even if computers are not allowed during the final exam. This course is coordinated by Didier Schlacther, engineer and economist, Maitre de conférence at Sciences Po and at ENA.

Course validation

Assessment: - Attendance & participation: 20%; Presentation of Libor Euribor case: 20%; 1h midterm exam: 20% during the class; Final exam in class : 40%


Seminar of 24h : 12 sessions of 2 hours. Credits: 4.

Required reading

  • D. SCHLACTHER, Comprendre les mathématiques financières, Hachette, coll. Les Fondamentaux, 4° ed. 2012
  • D. SCHLACTHER, De l'analyse à la prévision, Hachette, coll. Les Fondamentaux, 5° ed. 2009 - 3 tomes
  • D. SCHLACTHER, Comprendre la formulation mathématique en économie, Hachette, Coll. Les Fondamentaux, 5° ed. 2008
  • G. KELLER, B. WARRACK, Statistics for management and economics, Thomson, Brooks/Cole, Pacific Grove, 2003
  • F. K. REILLY, K.C. BROWN, Investment analysis and Portfolio Management, Thomson South Western, 2006

Additional required reading

  • G. FERREOL, D. SCHLACTHER, Dictionnaire des Techniques Quantitatives appliquées aux sciences économiques et sociales, A. Colin, coll. U, 1995
  • P. BONNEAU, Mathématiques Financières, Dunod, 1986
  • VERNIMMEN, Corporate finance, theory and practice, fourth edition
  • HULL, Fundamentals of futures and options markets