Master AMSE, Aix-Marseille School of Economics # Speciality Finance # M2 Finance - Track Finance and Insurance


This track is co-organised with the Ecole Centrale Marseille, most of the courses specific to the Finance and Insurance track are common and share with the Ecole Centrale Marseille. . This program provides extensive training in the fields of financial and insurance markets. Courses highlight empirical and theoretical issues. They emphasize economic modelling and market mechanisms. The main purpose is to provide a number of theoretical and econometric tools with empirical relevance in finance and insurance.


This master is supported by the Labex (laboratory of excellence) AMSE with nearly one hundred researchers coming from AMU, the CNRS, the INSERM, the EHESS, the IRD, the ECM, and three entities in economics : GREQAM (UMR 7316), SESSTIM (UMR 912) and the Institute of public economics. Teachers are selected according to their skills within these entities


Good basic knowledge in microeconomics (in particular contract theory), probability (conditional probability especially) and statistics (estimations and tests) are needed.


Notions in economics of uncertainty are recommended.


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Understanding the functioning of financial markets

Modeling the value of a financial asset, an insurance product or a company

Comparing various investment strategies.

Measuring the performance of financial assets.

Modeling behavior under risk.


At the end of the second year, students do an internship and write a master's thesis. The objective of the thesis is to demonstrate their ability to mobilize conceptual tools in order to find answers to issues raised by companies. The student must therefore identify the issue, implement tools, and communicate the results to both professional and academic audiences. The thesis is supervised by an academic.

Students wishing to write an academic thesis can do it in one of our research centers (GREQAM-UMR 7316, SESSTIM-UMR 912 and the IDEP Institute of public economics) ; in this case the internship is not mandatory. The student asks a research question in economics, mobilizes the relevant literature and contributes to it.


  • Lectures: 288 hours


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Semester 3 (30 ECTS)

Common core (6 ECTS)

Applied economics problems I


The objective of the course is to train students to think as economists. To this end the course choses two distinct topics, which correspond to two distinct parts of the course : Part I : ‘globalisation and inequality’, Part II : ‘The Arab Spring’. The topics are of interest to many but should be seen as tools to serves the purpose of the intellectual exercise of studying a phenomenon using economic thinking.

Course overview :

Part I.

Chapter I.1 : Facts and empirics on institutional change and development

Chapter I.2 : Benchmark theories : democratization games

Chapter I.3 : Understanding the Arab spring

Part II.

Chapter II.1 : Technical change, commercial integration on the skill premium.

Chapter II.2 : Economies of scale, commercial integration on the skill premium.

Chapter III.3 : Assortative matching, commercial integration and the skill premium.

PDF brochure.

Applied economics problems II


One of the principal challenges in empirical work in economics is the fact that many datasets are not random samples. Self-selection by optimising agents renders most observable data unrepresentative of the population of interest. Observed data and theoretical populations differ, leading to the confounding selection biases.

We will first examine the economic forces that lead to the presence of selection biases, and study there effects. We then consider under which conditions we can overcome this challenge, and consider in detail the classic and Nobel-prize winning Heckman procedure.

Course overview :

Selection biases (i) Origins, and consequences.

(ii) Proposed remedies,

(iii) Practical illustrations.

PDF brochure.

Financial analysis (9 ECTS)

International finance


Provide students with the general tools of financial market microstructure theory and their application to the foreign currency market.

Course overview :

Chapter 1 : New microstructure and the foreign exchange market

Chapter 2 : Theory of information and microstructure

Chapter 3 : Fundamentals’ models and central bank intervention

Chapter 4 : Microstructure

PDF brochure.

Corporate finance


The aim of this course is to provide the basis of corporate finance that would allow to compare various investment strategies and to financially value firms.

Course overview :

1. Financial diagnosis

2. Investment choices

3. Financial structure

4. Dividend policy

5. Mergers and Acquisitions

6. Information asymmetries and corporate finance

7. Moral hazard and corporate finance

PDF brochure.


  • Lectures: 24 hours

Economics of risk and insurance


The aim of this course is – in a first part – to present decision and contract theories in a risky context and to apply it to choices on the insurance market. In the second part, we aim at showing how individual behaviors aggregate in the insurance market and how prices form.

Course overview :

Chapter 1 – Decision making under risk (Dominique Henriet)

  1. Introduction : Risk aversion and measures of risk
  2. Demand for insurance and assets

Chapitre 2 – Insurance economics (Renaud Bourlès)

  1. The one risk model
  2. Product differentiation
  3. Unobservable criteria
  4. Moral hazard
  5. Extensions and exercises

PDF brochure.


  • Lectures: 24 hours

Quantitative methods in finance (6 ECTS)

Duration and transition models


We will consider models which focus on the duration of being in a state of interest, such as the unemployment or employment duration, or the duration of stay of migrants. We will develop the estimation techniques that are appropriate for this type of duration data.

Course overview :

  1. Revision : maximum likelihood, logit and probit models, identification
  2. Poisson process, with application to job-search models (Diamond (1971), Albrecht and Axel (1984), Burdett and Mortenson (1998)
  3. Duration and survival ananlysis : hazard models
  4. Applied duration analysis : empirical examples in R

PDF brochure.

Finance econometrics


Introduce students to some basic topics of the financial econometrics, with an emphasis on practical implementation.

Course overview :

- Stylized facts of time series of asset returns

- Asset allocation and Capital Asset Pricing Model

- Introduction to Value-at-Risk

- Introduction to interest rate models

PDF brochure.


  • Lectures: 24 hours

Financial markets (9 ECTS)

Portfolio management


The objective of this series of lectures is to acquaint with the theory of finance and to see how it applies in practice. We revisit the fundamental asset pricing models, the CAPM and APT, which we will estimate in class on market data. The students will carry out portfolio optimizations, using techniques such as stratified sampling or those developed by Markowitz and Black-Litterman. The students will build and manage fictive investment portfolios containing equities, bonds and currencies.

Case studies will be presented and discussed in class that I come across in my work as a financial engineer with asset management firms.

Course overview

1. Introduction

2. Currency investing

3. Sovereign bonds

4. Corporate bonds

5. Portfolio- and index construction

6. Green and socially responsible investment

PDF brochure.


  • Lectures: 24 hours

Stochastic finance


The aim of the course is to provide students with mathematical methods that allow valuating financial assets.

Course overview

  • Chapter 1 – Brownian motion : Definition and properties
  • Chapter 2 – Stochastic integrals : Itô integral, Itô formula, Girsanov theorem
  • Chapter 3 – Stochastic differential equations : existence and uniqueness of a solution
  • Chapter 4 – Link with parabolic PDE : Feynman-Kac formula
  • Chapter 5 – Black-Scholes model : pricing of european options

PDF brochure.


  • Lectures: 24 hours

Models of finance


The aim of this course is to give some general concepts that found the main models of finance. This in order to first better understand the jungle of financial products and second to understand the functioning of markets.

Course overview :

Chapter 1 – Introduction

1. First questions

2. Assets

3. Functioning of trading

4. Two first models : risk neutral valuation

Chapter 2 – Static model : arbitrage free condition

1. Mathematical preamble

2. No arbitrage condition in a static model

Chapter 3 – Dynamics (finite discrete models)

1. The tree of states of nature

2. Stochastic process on a tree

3. No arbitrage condition on a dynamic model

4. Risk neutral probability

Chapter 4 – Microstructure and behaviour models

1. The market efficiency hypothesis

2. The Competitive Rational Expectation Equilibrium

3. Bid ask spread

4. Information and High frequency trading

5. The capital asset pricing model

Chapitre 5 – Continuous models

1. Deterministic continuous model : the differential equation

2. Brownian motion and Stochastic integral

3. Arbitrage free equation

4. Continuous asset valuation

PDF brochure.

Semester 4 (30 ECTS)

Open courses (3 ECTS)

Elective course, 1 course among 2

Growth and development


The aim of the course is to examine the “new growth” or “endogenous growth” theories developed in the last 25 years, as well as the closely related literature on development. The course consists of two sections. The first part will examine the seminal work in growth and economic development. We will study the various mechanisms that will result in sustained long-run growth -learning-by-doing, investments in infrastructure, education, and firms’ R&D decisions– and analyze the role played by externalities and increasing returns to scale. We will see that a crucial implication of these growth models is that the equilibrium growth rate is not socially optimal, and that a laissez-faire economy can grow either too slowly or too fast. We will also examine the causes of economic development, and why poverty traps may emerge. The explanations proposed include the theory of “the big push”, whereby increasing returns to scale can result in poverty traps and hence explain why certain economies remain underdeveloped. We will then address the role of “threshold effects” in education, their implications for development, and the role of the distribution of wealth. The second part of the course will examine and several topics related to growth : the empirical evidence, the relationship between growth and inequality, recent views on the causes of the industrial revolution, and the role of institutions in development.

Course overview :

1. Neoclassical growth theories

2. Towards Endogenous Growth

3. Human capital

4. Poverty Traps

5. Technical change

6. The new growth evidence

7. Trade and Growth

8. Inequality and Growth

9. Institutions and development

10. Growth in early modern times

PDF brochure.


  • Lectures: 24 hours

Credit risk


- To explain the evolution of banking regulation on credit risk since the financial crisis (Basel II, Basel III & future regulations)

- To understand the notion of credit risk (theoretical models, measurement, pricing, management, etc...)

Course overview :

  1. Introduction : bonds and OTC transactions
  2. Modeling defaults : structural models and ratings
  3. Structured financing : plain-vanilla, asset financing, securitization etc.
  4. Banking regulation on credit risk

PDF brochure.

Master dissertation and internship (24 ECTS)

Unavailable contents.

Actuariat (3 ECTS)


The aim of the course is to present the main issues related to pricing of insurance products as well as the recent developments in actuarial sciences related to prudential regulation, disability insurance or long-term care.

Course overview :

Chapter 1 – Introduction to actuarial science (Renaud Bourlès)

1. The model of life insurance

2. Non-life insurance specificities

Chapter 2 – Life insurance products : technical and financial margins (Xavier Guerrault)

Chapter 3 -- Fair Value and warranty hedging in life insurance (Xavier Guerrault)

Chapter 4 – The pricing of non-life products, provisioning, credibity and the bonus-penalty system (Thérèse Winterholer)

Chapitre 5 – Disability insurance, social protection and retirement (Lahlou Hanouti)

Chapitre 6 – Reinsurance (Lahlou Hanouti)

PDF brochure.