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Courses
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This page highlights key courses and projects completed during my Bachelor in Mathematics and Master in Financial Engineering studies at EPFL.

Applied Data Analysis

Learn data analysis techniques and practices with case studies and homeworks.

  • Final project: Wikipedia Request For Adminship :Power Voters and Community Detection :
    Results (URL)

Financial Big Data

Lecturer: Professor Damien Challet

Big data handling, cleaning, learning how to extract valuable insights from highfrequency data. Strategy testing and modelling.

  • Project: Real Time Bubble Detection using Intraday Data

Quantitative Risk Management

Professor Damir Filipovic

Studied risk modeling techniques with applications to portfolio management. Value at Risk, Expected Shortfall, Loss modelling.

Advanced Derivatives

Professor Elena Perazzi

Focused on the pricing and risk management of advanced financial derivatives.
Pricing Amercian Options, Asian Options, Bermudean Options, Swaptions, Exotic Options. Discretizations to solve PDEs numerically.

Probability and Stochastic Calculus

Professor Damir Filipovic

Stochastic processes and their applications in financial modeling. Ito's Lemma and Feymann-Kac Theorem, Geometric Brownian Motion, Stochastic integration process. Stochastic Simulations, Monte Carlo Simulations

Probability and Statistics

Professor Juhan Aru

Focused on probability distributions, statistical inference, hypothesis testing and real-world data applications.
Probability Measure, Random Variables, Law of large numbers, Central Limit Theorem.

Machine Learning in Finance

Classification Algorithms, Artificial Neural Network, Unsupervised Learning, Natural Language Processing, Encoders, Transformers.

  • Project :Analyzed subreddit comments using natural language processing (NLP) techniques to identify actionable insights and monitor market trends.
    See the full report (PDF)

Time Series Analysis

Professor Sofia Olhede

Learned time series modeling techniques, including ARIMA and GARCH models. Spectral Analyis, AutoCovariance Functions, Autocorrelation Functions

Continuous Optimization & Optimization Methods

Lecturer: Professor Nicolas Boumal

Learned advanced methods for solving optimization problems. Studied optimization techniques for continuous systems, including gradient-based and heuristic methods.

Last modified: December 14th, 2024