Quatre étudiantes et étudiants témoignent de leur expérience
Pourquoi faire une maîtrise en gestion (M. Sc.) en ingénierie financière? Pourquoi choisir HEC Montréal? Quelles perspectives de carrière s'offriront à vous par la suite?
Image
Want to build an exciting career that combines your passions for mathematics, programming, and finance? Financial engineering prepares you to analyze, evaluate, and develop instruments that address today's financial challenges.
Overview
| Learn how to combine mathematical and computational techniques with financial knowledge to solve financial problems |
| Develop the ability to interpret and communicate analysis results to guide decisions in areas like risk management and portfolio management. |
| Learn about data science and artificial intelligence: textual data, high-frequency data, statistical learning and filtering unobservable variables. |
| Learn different programming languages. |
| Professors renowned in Canada and abroad, in both the academic and business communities. |
| French language courses and the Experience Quebec course can help international students integrate into the Quebec and Canadian job markets. This pathway is offered to most students who choose the supervised project stream. |
"This program combines science and finance! It opened a door for me to a subsidiary of Montréal Exchange by preparing me for risk management on transactions and derivatives. I received a job offer very quickly."
–
Samuel Léveillé, alumnus, Lead Risk Specialist, Risk Architecture, TMX Group
Program characteristics
-
Graduate
-
45 credits
A credit is a unit used to assign a numerical value to the workload required for students to meet the objectives of a given course. One credit represents 45 hours of work. Courses in the Québec university system are generally worth three credits each.
- Full-time
- Part-time
- Day
- On-site
- Côte-des-Neiges
Research chairs, centres and groups
- Canada Research Chair in Risk Management
- Research Chair in Data-driven Decision Making
- Centre de recherches mathématiques (CRM)
- Group for Research in Decision Analysis (GERAD)
HEC Montréal is also a partner of the Canadian Derivatives Institute (CDI).
Putting academic theory into practice
- The National Bank Capital Markets trading room at HEC Montréal, supplied with real-time financial data and linked to the Bloomberg and Reuters information and analysis services, is like an actual trading room at a major financial institution.
- The Computing and Data Mining Laboratory gives you access to databases in economics, finance, marketing and other management fields and to specialized software for processing such data and performing scientific simulations and calculations.
A step toward your future career
Organizations trust the expertise acquired by students with this master’s degree. This is evidenced by examples of proposed supervised projects.
- Asset management in specific environments such as insurance companies, pension funds or investment funds
- Evaluation and coverage of derivatives
- Measuring and managing credit risk and counterparty risk
- Using learning methods and artificial intelligence for market forecasting
QTEM masters program: join a world-class network!
Are you looking to develop skills in analytical and quantitative techniques to support decision-making in an international context? Spend a term at one of the institutions in the prestigious QTEM network and earn your QTEM certification in quantitative technology in economics and management.
Your career outlook
Positions held by program graduates:
- Associate Director – C++ Developer
- Associate – Risk Management
- Manager – Investment Funds
- Principal Analyst – Risk, Portfolio and Modeling
- Senior Advisor – Financial Engineering
- Senior Analyst – Investment Risk
“Thanks to the high quality of this master’s program, graduates understand advanced concepts and models and how they are applied in practice. They develop extensive skills in computer programming. The cutting-edge trading room also lets them get a head start by linking their classroom knowledge with the realities of financial markets.”
–
Pierre Laroche, VP Research and Strategy, National Bank Investments.
You may also be interested in these other programs
You may also be interested in these other programs
Already started your program? Check your course list in HEC en ligne > Academic Progress
This specialization offers either a thesis or a supervised project stream, for a total of 45 credits over a period of 16 to 24 months.
Select a stream:
Thesis
Thesis
- 7 courses (21 credits)
- Thesis (24 credits)
4 specialization courses
-
FINA 60206ADerivative ProductsSubjectFinanceProgramMaîtrise en gestion (M. Sc.)LocationCôte-des-NeigesInstruction modeOn-site learningCredits3It first covers the diffusion model with an introduction to stochastic calculus and a deep examination of the Black-Merton -Scholes framework. Then it deals with the discrete time approach (binomial and trinomial trees) and the issues related to replication (managing Greek parameters, transaction costs). The course will review the numerical methods of finite differences and Monte Carlo simulations. In the second part, exotic options will serve as an advanced application of stochastic calculus (for analytical evaluation) and of numerical methods. Then, the course will focus on the modelling of volatility in discrete time (Garch models) as well as in continuous time (stochastic volatility models). It will end with a brief introduction to jump-diffusion models.Themes covered
- Diffusion Models
- Black-Merton-Scholes Model
- Discrete Time Approach
- Replication of Derivatives
- Quasi-Analytical Models for American Options
- Exotic Options
- Numerical Methods
- Volatility Modeling
- Models with jumpsSee the course webpageImportant notesCourse in French : FINA 60206
M. Sc. finance: Préalable(s): MATH 60207(A) ou 60230(A), et MATH 60210(A) ou 60231(A), et FINA 60211(A) ou 60232(A) M. Sc. économie financière appliquée: Préalable(s): MATH 60837(A)(Co) ou être admis à la M. Sc. ingénierie financière -
FINA 60201AFixed Income SecuritiesSubjectFinanceProgramMaîtrise en gestion (M. Sc.)LocationCôte-des-NeigesInstruction modeOn-site learningCredits3The student is exposed to the recent developments and practices regarding fixed income securities that are typically used in financial institutions and corporations. The following topics are examined: interest rate swaps; the management of interest rate risks; risk-neutral valuation for fixed-income securities; term structure models; mortgage-backed bonds; interest rate options; credit risk.Themes covered
1. Introduction to rates zero coupon and swaps
2. Nelson-Siegel model and Risk Management
3. Risk-neutral valuation
4. Short term interest rate processes
5. Mortgage back securities and binomial approaches
6. Term structure of interest rate models
7. Options on interest rates
8. Fixed income securities and credit riskSee the course webpageImportant notesCourse in French : FINA 60201
M. Sc. finance: Préalable(s): MATH 60207(A) ou 60230(A), et MATH 60210(A) ou 60231(A), et FINA 60211(A) ou 60232(A) M. Sc. économie financière appliquée: Préalable(s): MATH 60837(A)(Co) ou être admis à la M. Sc. ingénierie financière -
MATH 60610AMachine learning applied to financial dataSubjectMathématiquesProgramMaîtrise en gestion (M. Sc.)LocationCôte-des-NeigesInstruction modeOn-site learningCredits3Using financial data, either structured (yields, prices, etc.) or unstructured (texts), students will become familiar with machine learning approaches, textual analysis, the use of filters to extract unobservable variables, as well as issues related to high frequency data.Themes covered
Machine learning methods
Textual analysis
Linear and non-linear filters
High-frequency data
See the course webpageImportant notesCourse in French : MATH 60610 The PhD course MATH 80631A is now a MSc course -
MATH 60646AStochastic CalculusSubjectMathématiquesProgramMaîtrise en gestion (M. Sc.)LocationCôte-des-NeigesInstruction modeOn-site learningCredits3The first half of the course is in discrete time, while the second half is about continuous time models. For each of these two parts, there is a theoretical component in which the basic concepts such as martingales, stochastic integrals and diffusion processes are introduced and a more applied segment where the mathematical tools are applied to financial problems.Themes covered
Mathematical background in probability and measure theory on finite set.
Fundamental set sigma-fields probability measure random variable stochastic processes filtration stopping-time conditional expectation martingales.
Applications to finance
Arbitrage investment strategy contingent claims pricing risk neutral measure.
Explanation and proof of the main result of Harrison and Pliska (1984).
Continuous time mathematical background
Convergence of sequence of random variables Brownian motion solution to stochastic differential Equation Itô's lemma Radon-Nikodym derivative Girsanov theorem Martingale Representation Theorem.
Application to finance
Pricing in absence of arbitrage change of measures complete and incomplete market hedging.
See the course webpageImportant notesCourse in French : MATH 60646 The PhD course MATH 80646A is now a MSc course
1 MSc program course
-
GEST 60401AComparative Perspectives on Societal Issues and Business OrganisationsSubjectGestionProgramMaîtrise en gestion (M. Sc.)LocationCôte-des-NeigesInstruction modeOn-site learningCredits3The course is based on the reading and discussion of fundamental texts in social science, more particularly in economics, sociology, anthropology and history. The objective is for students to apprehend major social and environmental issues and to see business organizations from a global perspective. The course thus aims at supporting students in becoming critically minded and ethically oriented actors of society and of the business world, in order to address business ethics issues and major social and environmental issues in a more informed and reflexive way. A key aspect of the course is coteaching: two instructors - one from the Department of applied economics, one from the Department of management - coteach the course, thereby providing comparative perspectives on major social and environmental issues, business organizations, and management.Themes covered
- The emergence of Western modern society
- The model of modern Western society and its social and environmental implications
- The economic and social foundations of business organizations
- The individual and collective driving forces of business organizations
- The business organization in the face of major social and environmental challengesSee the course webpageImportant notesCourse in French : GEST 60401 It is highly recommended to take this course at the end of the program.
You can either choose:
- 2 optional courses, or
- 1 optional course and 1 elective
Optional courses
-
MATH 80622AAnalysis of Extreme Values with Application in Financial EngineeringSubjectMathématiquesProgramPhDLocationCôte-des-NeigesInstruction modeOn-site learningCredits3See the course webpageThe risks related to extreme events on financial markets are very difficult to quantify. The theory of extreme values is an important statistical discipline allowing for a more proper modeling of rare events. The proper analysis of extreme values, including methods of estimation, quantification of uncertainty, diagnostics, and maximal utilization of available data are considered in the course. We also make extensive use of R, a freely available language and environment for statistical computing and graphics.
-
FINA 80222AContingent Claims in Incomplete MarketsSubjectFinanceProgramPhDLocationCôte-des-NeigesInstruction modeOn-site learningCredits3Examples include jump-diffusion models, models with priced correlation risk and the corresponding innovations in the modeling of the pricing kernel. We will also discuss the backtesting of risk management strategies in the context of incomplete markets. Development of the ability to implement the methods studied and critically read the current and forthcoming literature in the field.See the course webpageThemes covered
1. Brief review of contingent claims and of the notion of market (in)completeness. The hypotheses underlying to the Black-Merton-Scholes model and the associated pricing kernel. 2. The volatility smile model-free volatility measures (RV and VIX) and option-implied distributions. We will revisit the Black-Scholes implied volatility smile and some of its potential explanations. We will then consider different model-free volatility measures and see how variance swaps and/or option data can be used to extract information about the risk-adjusted distribution of returns. Finally we will introduce the notion of variance risk premia a concept that we will further revisit when we study dynamic volatility models.
Selected papers: Andersen Bollerslev Christoffersen and Diebold (2006); The CBOE Volatility Index - VIX (2009); Demeterfi Derman Kamal and Zou (1999); Martin (2013); Bollerslev and Todorov (2011) . 3.Stochastic volatility models and the pricing kernel. Conditionally normal GARCH models and the pricing kernel in discrete time. Component models.
We will introduce stochastic volatility and GARCH models highlighting the pricing kernel used or implied by the different models. We will review some stylized facts on volatility and see how the different models accommodate these (or not). In particular we will discuss volatility models in which volatility process is separat
-
FINA 80224AContinuous-time Corporate FinanceSubjectFinanceProgramPhDInstruction modeOn-site learningCredits3The body of literature on continuous-time corporate finance has substantially grown over the last four decades and has been the subject of surveys and of recent reference books such as Moreno-Bromberg and Rochet (2018) and Galai et al. (2018). The course is structured around six topics: Corporate investment, capital structure, financial distress, corporate control, corporate risk management and the empirical implementation of continuous-time models. For each of these topics, the instructor will review the economic and financial questions and present the modelling approaches in the literature. Students will present one paper chosen among the selected reading list. The instructor will then organize a discussion around that presentation and the other papers in the reading list. Students will also be asked to work on a project.See the course webpageThemes covered
- Corporate investments: Real options strategic exercise of real options (option games) liquidity constraints.
- Capital structure: Static trade-off agency conflicts informational asymmetry dynamic capital structure interactions with investment policy.
- Financial distress: Debt renegotiations strategic debt service bankruptcy procedure.
- Corporate control: Mergers and acquisitions industry competition.
- Corporate risk management: Risk management and firm value liquidity constraints.
- Empirical implementation: Estimation of structural models convexity bias and other issues in testing capital structure models.
-
MATH 80680ADynamic Optimisation in ManagementSubjectMathématiquesProgramPhDLocationCôte-des-NeigesInstruction modeOn-site learningCredits3See the course webpageAt the end of the course, the students should be able to identify a business management situation presenting a dynamic optimization problem, represent this problem using a suitable mathematical model, and solve it using one of the available techniques of dynamic optimization.
-
FINA 80223AMacro Asset PricingSubjectFinanceProgramPhDInstruction modeOn-site learningCredits3See the course webpageThis class is intended for Ph.D. students interested in doing research in theoretical and empirical asset pricing with an emphasis on macro finance. The objective of this class is to familiarize students with a number of research areas and tools that are particularly important in the recent asset pricing and international finance literature. A large emphasis will be devoted to the analysis of risk premia in various financial markets and to foster our understanding on the role of investor preferences as a fundamental driver in asset pricing. We will cover the latest research focusing on the empirical determination and the theoretical explanation of various risk premia, such those present in exchange rates, sovereign debt valuation, equity markets, and corporate asset prices.
-
MATH 80614ANumerical Methods in Quantitative FinanceSubjectMathématiquesProgramPhDLocationCôte-des-NeigesInstruction modeOn-site learningCredits3The course is designed for the study of numerical methods in finance, with an emphasis on numerical methods for the pricing of contingent claims. The reading material covers earlier developments as well as current research issues. Some of the material will be presented in class by the instructors. However, the course will generally involve presentations and discussions of the assigned readings by the students.See the course webpageThemes covered
Monte Carlo simulation
Solution of partial differential equations
Fourier Transform
Filtering and estimation of latent variables
Artificial intelligence
Risk measures
-
MATH 80624AQuantitative Risk Management Using Robust OptimizationSubjectMathématiquesProgramPhDLocationCôte-des-NeigesInstruction modeOn-site learningCredits3More specifically, students will become familiar with the main tools that are used in the application of the robust optimization paradigm: convex theory, data-driven uncertainty sets design, adjustable decision rules, tractable reformulation, and decomposition algorithms for problems of infinite size. The course will also cover a set of practical applications where the use of such tools is called-for. Applications will be inspired from a diversified range of fields of practice.See the course webpageThemes covered
1) Why is there a recent surge of interest in robust optimization?
2) Robust counterpart of Linear Programs
3) Data-driven Uncertainty Set Design
4) Robust Nonlinear Programming
5) Adjustable Robust Linear Programming
6) Value of Flexibility Using Tractable Decision Rules
7) Globalized Robust Counterparts
8) Distributionally Robust Optimization
9) Robust Markov Decision Processes
10) Robust Preference Optimization
11) Pareto Robust Optimization
12) A Survey of Recent Applications
-
MATH 80637ASpecial Topics in Financial EngineeringSubjectMathématiquesProgramPhDInstruction modeOn-site learningCredits3See the course webpageThis course covers advanced topics in Financial Engineering. This course is typically taught by a team of professors.
Elective
- A master's or PhD-level course at HEC Montréal
- Master's-level course (3 credits) at another university
All courses at another university must be pre-approved by the academic advisor for the specialization.
2 compulsory activities and the thesis
Before completing the 24-credit thesis, you must successfully complete 2 non-credit activities.
-
RECH 66248AResearch WorkshopSubjectRecherche, thèse, mémoireProgramMaîtrise en gestion (M. Sc.)LocationOtherInstruction modeAsynchronous distance learningCredits0It is necessary to have identified the subject and the person(s) who will supervise the dissertation before registering for this workshop. Before registering the thesis topic and submitting the study plan, it is essential to discuss and validate their content with the person(s) who will act as your research supervisor(s). The result of this research workshop (requirement met) does not count towards your grade point average.See the course webpageImportant notesCourse in French : RECH 66248 The research workshop must be successfully achieved before completing 21 program credits and before the data collection, if required for your thesis.
Préalable(s) : ETHI 60113(A) (Co) ou ETHI 66201(A) (Co) -
ETHI 66201AResponsible Conduct of Research: From Norms to PracticeSubjectÉthique et gouvernanceProgramMaîtrise en gestion (M. Sc.)LocationOtherInstruction modeAsynchronous distance learningCredits0Throughout this course, students will become familiar with what constitutes ethically and responsibly conducted research. They will be able to identify and assess potential problems and misconducts, to recognize individual and institutional responsibilities, and to mobilize appropriate mechanisms for resolution. The course will enable them to identify problematic situations in research and deploy appropriate analyses and/or procedures to prevent or manage them.Themes covered
Responsible conduct of research (RCR): History and definitions
The values underlying the responsible conduct of research
Framing the responsible conduct of research
Responsible research conduct issues related to research contexts fields or methods
Research ethics
Good research data management
Conflicts of interest in research
Power issues in research
Dissemination of research results: good practices and issues
Societal impacts of research
Misconducts in researchSee the course webpageImportant notesCourse in French : ETHI 66201 All information about this course will be presented in ZoneCours. A synchronous distance learning session will be offered each term. For more information, visit the supervised project page.
This workshop is only open to students in the Thesis stream. If you are in the Supervised Project stream, you must register to the ETHI 66200(A) workshop. -
RECH 66218AThesisSubjectRecherche, thèse, mémoireProgramMaîtrise en gestion (M. Sc.)LocationCôte-des-NeigesOtherInstruction modeOn-site learningCredits24See the course webpageImportant notesCourse in French: RECH 66218 For more information, please check this page www.hec.ca/en/students/my-program/msc/thesis
If your previous training does not meet the requirements of the specialization, you will need to take one or more preparatory undergraduate courses. You have one year to take these courses, preferably at the start of your MSc studies.
-
FINA 20205AFinancial ManagementSubjectFinanceProgramBachelor’s degree (BBA)LocationCôte-des-NeigesInstruction modeOn-site learningCredits3Establishment of connections between the concepts presented in class and real situations.Themes covered
1.Décision d'investissement.
2. Structure de financement.
3. Outils de financement.
4. Relations entre décisions d'investissement et de financement.
5. Dividendes.
See the course webpageImportant notesCourse in French : FINA 20205 Prerequisite(s) : FINA 10200(A) -
FINA 20210AFutures and OptionsSubjectFinanceProgramBachelor’s degree (BBA)LocationCôte-des-NeigesInstruction modeOn-site learningCredits3The following topics will be covered: Introduction to derivatives markets; Forward and Futures market operations; Hedging strategies using futures; Determining forward prices; Futures on interest rates; Interest rate swaps; Options market operations; Options price determination and uses; Use of option contracts to determine hedging strategies.See the course webpageImportant notesCourse in French : FINA 20210 Prerequisite(s) : FINA 10200(A)
-
MATH 20607Mathématiques appliquées ISubjectMathématiquesProgramBachelor’s degree (BBA)LocationCôte-des-NeigesInstruction modeOn-site learningCredits3Ce cours est tout particulièrement destiné aux personnes ayant choisi de se spécialiser en analytique d'affaires, ainsi qu'à celles qui se destinent à des études avancées en économie, finance ou mathématiques. Ce cours couvre plusieurs notions essentielles, dont le calcul matriciel, l'algèbre vectorielle, l'analyse de fonctions de plusieurs variables et l'optimisation. Plusieurs exemples d'application de ces méthodes sont exposés, notamment dans les domaines de l'analytique d'affaires, de l'économie et de la finance.Themes covered
Calcul matriciel et algèbre vectorielle : algèbre des matrices solution de systèmes d'équations linéaires;
Espaces vectoriels : produit scalaire projections valeurs et vecteurs propres;
Applications : chaînes de Markov flux dans les réseaux modèles d'intrants/extrants infographe;
Fonctions de plusieurs variables : dérivées partielles gradient et hessien continuité convexité formes quadratiques;
Optimisation sans contrainte : conditions d'optimum analyse de convexité;
Optimisation sous contraintes (égalité) : substitution Lagrangien conditions d'optimum interprétation des multiplicateurs;
Calcul intégral : rappel intégration multiple règle de Leibniz théorème de FubiniSee the course webpageImportant notesPréalable(s) : MATH 20604(A) (Co) -
MATH 20609Mathématiques appliquées IISubjectMathématiquesProgramBachelor’s degree (BBA)LocationCôte-des-NeigesInstruction modeOn-site learningCredits3Le cours aborde les raffinements les plus fréquents des modèles de base usuels, notamment les systèmes non linéaires, les systèmes dynamiques, et les systèmes impliquant plusieurs décideurs. L'accent est porté sur trois habiletés essentielles : la mise au point de modèles mathématiques pertinents, la maîtrise des méthodes de solution numériques et analytiques, et l'analyse et la mise en œuvre des solutions.Themes covered
Séquences séries limites
*Introduction à la topologie approximation par point fixe retour sur les espaces métriques
Solutions d'équations non linéaires
*Méthodes erreurs numériques et conditionnement complexité convergence
Systèmes dynamiques déterministes
*Équations aux différences équations différentielles solutions de systèmes linéaires
*Diagrammes de phase état stationnaire forward/backward
Optimisation dynamique
*Commande optimale
*Programmation dynamique
Introduction à la théorie des jeux
*Modèles coopératifs modèles non-coopératifs
Synthèse
See the course webpageImportant notesPréalable(s) : MATH 20607 -
MATH 60699AMathematics for Financial EngineeringSubjectMathématiquesProgramMaîtrise en gestion (M. Sc.)LocationCôte-des-NeigesInstruction modeOn-site learningCredits4This course prepares students for the MSc courses in financial engineering. More specifically, it reviews basic concepts in probability and covers advanced topics in stochastic modeling and processes. Next, it discusses some topics in linear algebra and their connections to the ones discussed in probability. Finally, selected topics in the single and the multivariabe calculus and differential equations are covered.Themes covered
Probability and Random Variables: basic concepts of probability discrete random variables continuous random variables
Multiple Random Variables and Stochastic Processes: Multiple RVs stochastic processes stochastic convergence limit theorems
Common Stochastic Processes: Poisson process Markov chains in discrete-time Markov chains in continuous-time Brownian motions
Linear Algebra and its connections to probability: vector spaces singular value decomposition the Perron-Frobenius theorem and their connections to notions of probability
Review of basic topics in single variable and multivariable calculus
Differential equations: Ordinary differential equations partial differential equations linear heat equationSee the course webpageImportant notesCourse in French : MATH 60699 This course is a preparatory course.
Cours réservé aux étudiant(e)s du programme de phase préparatoire à la MSC. -
FINA 20203APortfolio ManagementSubjectFinanceProgramBachelor’s degree (BBA)LocationCôte-des-NeigesInstruction modeOn-site learningCredits3This course aims to teach and apply the concepts introduced in FINA 20201A introduction to investments and FINA 20210A Futures and Options. Some of the subjects that are covered include, among others, the process of portfolio management for individual and institutional investors, modern portfolio theories, hedging portfolios strategies, investment styles et strategies. Asset valuation and portfolio composition are also examined. As part of a team, the student must elaborate an investment policy statement for a fictitious client and manage his portfolio in a simulated environment.See the course webpageImportant notesCourse in French : FINA 20203 Prerequisite(s) : FINA 20201(A)
-
MATH 20602AProbabilistic and Stochastic Models in BusinessSubjectMathématiquesProgramBachelor’s degree (BBA)Instruction modeOn-site learningCredits3This course is an advanced study of probability theory and an introduction to stochastic modeling and its applications in finance, economics and business analytics. Markov chains are widely used in many descriptive and prescriptive models, especially for describing the evolution and optimization of dynamic systems. Poisson processes are used for the enumeration of discrete events and are involved in queuing models and their applications in computer science, telecommunications, services, and transportation. Renewal processes are used in reliability and systematic maintenance. Brownian motions are the basis of several stochastic models used in finance. The concepts covered in this course are essential preparation for the fields of quantitative finance, stochastic optimization, and decision making under uncertainty.Themes covered
Review of probability theory; stochastic modeling
Conditional probability and expectation
Markov chains and their asymptotic behavior
Poisson processes
Markov chains in continuous time
Renewal phenomena
Brownian motion and other related processes
Queueing systemsSee the course webpageImportant notesCourse in French : MATH 20602 Prerequisite(s): MATH 10620(A)
Supervised project
Supervised project
- 12 courses (36 credits)
- Supervised project (9 credits)
9 specialization courses
-
FINA 60204ACapital Market TheorySubjectFinanceProgramMaîtrise en gestion (M. Sc.)LocationCôte-des-NeigesInstruction modeOn-site learningCredits3It reviews the microeconomic foundations of decision-making under uncertainty and as well as the basic mathematical and statistical techniques used to derive key results. Students will learn about - measures of risk aversion - empirical asset pricing puzzles - equilibrium risk-sharing and savings behaviour - the role of asymmetric information - models of inefficient equilibria - arbitrage and market completeness Upon completion, students will have the tools needed to read and understand the literature on capital markets and asset pricing.See the course webpageImportant notesCourse in French : FINA 60204
-
MATH 60609AComputational Methods in Financial EngineeringSubjectMathématiquesProgramMaîtrise en gestion (M. Sc.)LocationCôte-des-NeigesInstruction modeOn-site learningCredits3Although some theory is useful and necessary, including formal proofs, the emphasis is on problem solving and practical applications in finance, through either actual computer programming or the enlightened use of software. This material covered in this course spans from foundations (classical optimisation, solution of equation systems) to modern techniques (robust and conical optimisation, machine and reinforcement learning).Themes covered
Systems of equations
Classical optimisation
Numerical integration
Robust optimisation
Conic optimisation
Approximate dynamic programming
Reinforcement learning
Stochastic gradient
See the course webpageImportant notesCourse in French : MATH 60609 -
FINA 60206ADerivative ProductsSubjectFinanceProgramMaîtrise en gestion (M. Sc.)LocationCôte-des-NeigesInstruction modeOn-site learningCredits3It first covers the diffusion model with an introduction to stochastic calculus and a deep examination of the Black-Merton -Scholes framework. Then it deals with the discrete time approach (binomial and trinomial trees) and the issues related to replication (managing Greek parameters, transaction costs). The course will review the numerical methods of finite differences and Monte Carlo simulations. In the second part, exotic options will serve as an advanced application of stochastic calculus (for analytical evaluation) and of numerical methods. Then, the course will focus on the modelling of volatility in discrete time (Garch models) as well as in continuous time (stochastic volatility models). It will end with a brief introduction to jump-diffusion models.Themes covered
- Diffusion Models
- Black-Merton-Scholes Model
- Discrete Time Approach
- Replication of Derivatives
- Quasi-Analytical Models for American Options
- Exotic Options
- Numerical Methods
- Volatility Modeling
- Models with jumpsSee the course webpageImportant notesCourse in French : FINA 60206
M. Sc. finance: Préalable(s): MATH 60207(A) ou 60230(A), et MATH 60210(A) ou 60231(A), et FINA 60211(A) ou 60232(A) M. Sc. économie financière appliquée: Préalable(s): MATH 60837(A)(Co) ou être admis à la M. Sc. ingénierie financière -
FINA 60201AFixed Income SecuritiesSubjectFinanceProgramMaîtrise en gestion (M. Sc.)LocationCôte-des-NeigesInstruction modeOn-site learningCredits3The student is exposed to the recent developments and practices regarding fixed income securities that are typically used in financial institutions and corporations. The following topics are examined: interest rate swaps; the management of interest rate risks; risk-neutral valuation for fixed-income securities; term structure models; mortgage-backed bonds; interest rate options; credit risk.Themes covered
1. Introduction to rates zero coupon and swaps
2. Nelson-Siegel model and Risk Management
3. Risk-neutral valuation
4. Short term interest rate processes
5. Mortgage back securities and binomial approaches
6. Term structure of interest rate models
7. Options on interest rates
8. Fixed income securities and credit riskSee the course webpageImportant notesCourse in French : FINA 60201
M. Sc. finance: Préalable(s): MATH 60207(A) ou 60230(A), et MATH 60210(A) ou 60231(A), et FINA 60211(A) ou 60232(A) M. Sc. économie financière appliquée: Préalable(s): MATH 60837(A)(Co) ou être admis à la M. Sc. ingénierie financière -
MATH 60610AMachine learning applied to financial dataSubjectMathématiquesProgramMaîtrise en gestion (M. Sc.)LocationCôte-des-NeigesInstruction modeOn-site learningCredits3Using financial data, either structured (yields, prices, etc.) or unstructured (texts), students will become familiar with machine learning approaches, textual analysis, the use of filters to extract unobservable variables, as well as issues related to high frequency data.Themes covered
Machine learning methods
Textual analysis
Linear and non-linear filters
High-frequency data
See the course webpageImportant notesCourse in French : MATH 60610 The PhD course MATH 80631A is now a MSc course -
FINA 60202APortfolio ManagementSubjectFinanceProgramMaîtrise en gestion (M. Sc.)LocationCôte-des-NeigesInstruction modeOn-site learningCredits3We also analyze different performance measures, delegated portfolio management, environmental, social and governance (ESG) as well as machine learning and artificial intelligence (ML/AI) considerations in portfolio management.Themes covered
1. Introduction to portfolio management
2. Markowitz-style portfolio allocation - Theory
3. Markowitz-style portfolio allocation - Practice
4. Portfolio allocation à la Black-Litterman
5. Forecasting and machine learning and artificial intelligence (ML/AI) considerations in portfolio management
6. Long-term portfolio allocation à la Merton - Theory
7. Long-term portfolio allocation à la Merton - Practice
8. Factor investing - Theory
9. Factor Investing - Practical
10. Performance measurement
11. Environmental social and governance (ESG) in portfolio management
12. Delegated portfolio managementSee the course webpageImportant notesCourse in French : FINA 60202
M. Sc. finance: Préalable(s): MATH 60207(A) ou 60230(A), et MATH 60210(A) ou 60231(A), et FINA 60211(A) ou 60232(A), et FINA 60204(A) M. Sc. économie financière appliquée: Préalable(s): MATH 60837(A)(Co) ou être admis à la M. Sc. ingénierie financière -
MATH 60633AStatistical Methods for Financial DataSubjectMathématiquesProgramMaîtrise en gestion (M. Sc.)LocationCôte-des-NeigesInstruction modeOn-site learningCredits3The course aims at mastering statistic tools used in financial engineering and quantitative finance models. It covers estimation methods (frequency, Bayesian, and heuristic approaches) multivariate models (elliptic distributions and copulas), dimensionality reduction (principal components and factor models) and resampling, as well as model validation and testing methods. These methods are applied to practical cases encountered in the financial industry. Special emphasis will be placed on production and implementation (collaborative computer programming and efficient implantation).Themes covered
Computer programming
Estmiation methods
Multivariate models
Dimension reduction methods
Resampling methods
Model validation methods
Applications in portfolio management
Applications in financial risk management
See the course webpageImportant notesCourse in French : MATH 60633 Equivalent course(s): MATH 80633(A) -
MATH 60646AStochastic CalculusSubjectMathématiquesProgramMaîtrise en gestion (M. Sc.)LocationCôte-des-NeigesInstruction modeOn-site learningCredits3The first half of the course is in discrete time, while the second half is about continuous time models. For each of these two parts, there is a theoretical component in which the basic concepts such as martingales, stochastic integrals and diffusion processes are introduced and a more applied segment where the mathematical tools are applied to financial problems.Themes covered
Mathematical background in probability and measure theory on finite set.
Fundamental set sigma-fields probability measure random variable stochastic processes filtration stopping-time conditional expectation martingales.
Applications to finance
Arbitrage investment strategy contingent claims pricing risk neutral measure.
Explanation and proof of the main result of Harrison and Pliska (1984).
Continuous time mathematical background
Convergence of sequence of random variables Brownian motion solution to stochastic differential Equation Itô's lemma Radon-Nikodym derivative Girsanov theorem Martingale Representation Theorem.
Application to finance
Pricing in absence of arbitrage change of measures complete and incomplete market hedging.
See the course webpageImportant notesCourse in French : MATH 60646 The PhD course MATH 80646A is now a MSc course -
MATH 60837ATime Series EconometricsSubjectMathématiquesProgramMaîtrise en gestion (M. Sc.)LocationCôte-des-NeigesInstruction modeOn-site learningCredits3The goal of the course is twofold: (1) develop a comprehensive set of tools and techniques for analyzing various forms of univariate and multivariate time series; (2) show how to use econometric software such as Matlab or RATS to estimate time series models. The topics include stationary univariate models (ARMA), non-stationary univariate models (ARIMA), regime-switching, multivariate time-series models (VAR and cointegration), and conditional heteroscedasticity. The tools developed in the course represent a key ingredient to address many research questions in the fields of finance, financial engineering, economics, and marketing. Moreover, the student will become familiar with econometric models and forecasting techniques routinely used by financial and economic institutions as well as business companies.See the course webpageImportant notesCourse in French : MATH 60837
1 MSc program course
-
GEST 60401AComparative Perspectives on Societal Issues and Business OrganisationsSubjectGestionProgramMaîtrise en gestion (M. Sc.)LocationCôte-des-NeigesInstruction modeOn-site learningCredits3The course is based on the reading and discussion of fundamental texts in social science, more particularly in economics, sociology, anthropology and history. The objective is for students to apprehend major social and environmental issues and to see business organizations from a global perspective. The course thus aims at supporting students in becoming critically minded and ethically oriented actors of society and of the business world, in order to address business ethics issues and major social and environmental issues in a more informed and reflexive way. A key aspect of the course is coteaching: two instructors - one from the Department of applied economics, one from the Department of management - coteach the course, thereby providing comparative perspectives on major social and environmental issues, business organizations, and management.Themes covered
- The emergence of Western modern society
- The model of modern Western society and its social and environmental implications
- The economic and social foundations of business organizations
- The individual and collective driving forces of business organizations
- The business organization in the face of major social and environmental challengesSee the course webpageImportant notesCourse in French : GEST 60401 It is highly recommended to take this course at the end of the program.
You can either choose:
- 2 optional courses, or
- 1 optional course and 1 elective
Optional courses
-
FINA 60220AAssurancesSubjectFinanceProgramMaîtrise en gestion (M. Sc.)Instruction modeOn-site learningCredits3The insurance market is one of the most mature and sophisticated ones in capitalist societies, where risk management and risk sharing are at the very foundation of capital markets. Insurance plays a crucial role in managing personal and corporate risks. The aim of the course is to introduce the insurance industry to M.Sc. students in finance, financial engineering, applied economics and applied financial economics. Students will learn about the functioning and the challenges of this industry, as well as about the organizational structure of the insurance market and market failures.Themes covered
1. Insurance Demand
A. Individuals' demand for insurance; B. Corporate demand for insurance; C.Annuities and pensions.
2.The Insurance Company
A. The technology - Pooling of risks insurability ownership structure and distribution; B.Underwriting; C.Premium calculation; D. Accounting and reserving; E. Solvency and market discipline; F. Reinsurance and securitization.
3.Asymmetric Information
A. Models of asymmetric information; B. Empirical evidence of asymmetric information in insurance markets.
4.Special Topics
A. Pension plans B. Climate risk C.The value of a statistical lifeSee the course webpageImportant notesCourse in French : FINA 60220
M. Sc. finance: Préalable(s): MATH 60207(A) ou 60230(A), et MATH 60210(A) ou 60231(A), et FINA 60211(A) ou 60232(A) M. Sc. économie financière appliquée: Préalable(s): MATH 60837(A)(Co) ou être admis à la M. Sc. ingénierie financière -
MATH 60615ADecision AnalysisSubjectMathématiquesProgramMaîtrise en gestion (M. Sc.)LocationCôte-des-NeigesInstruction modeOn-site learningCredits3Mathematical and numerical techniques will be illustrated using examples from a diverse range of applications of management and a number of case studies. Students will learn to model and analyze a decision problem. They will also be exposed to software that can implement these models.Themes covered
1) Probabilistic modeling
2) Monte-Carlo simulation
3) Decision trees
4) Expected utility theory
5) Multiple-criteria analysis
6) Analytical hierarchy processSee the course webpageImportant notesCourse in French : MATH 60615 -
FINA 60208AFinancial institutionsSubjectFinanceProgramMaîtrise en gestion (M. Sc.)LocationCôte-des-NeigesInstruction modeOn-site learningCredits3This course allows students to understand how financial institutions function and their influence on corporate actions of firms in their portfolios. Main topics include lending decisions and monitoring activities by banks and nonbank lenders such as shadow banks and fintech companies; incentives and performance of mutual funds and hedge funds, as well as their involvement in firm policies; sell-side analyst forecasts of firm performance. The course will employ an empirical approach based on papers published in top academic journals.Themes covered
Bank lending decisions
Loan contract design
Banking regulations and shadow banking
Mutual funds and hedge funds
Corporate governance shareholder voting and activism
Sell-side analyst coverageSee the course webpageImportant notesCourse in French : FINA 60208
M. Sc. finance: Préalable(s): MATH 60207(A) ou 60230(A), et MATH 60210(A) ou 60231(A), et FINA 60211(A) ou 60232(A), et FINA 60204(A) M. Sc. économie financière appliquée: Préalable(s): MATH 60837(A)(Co) ou être admis à la M. Sc. ingénierie financière -
MATH 60629AMachine Learning I: Large-Scale Data Analysis and Decision MakingSubjectMathématiquesProgramMaîtrise en gestion (M. Sc.)LocationCôte-des-NeigesInstruction modeOn-site learningCredits3Massive datasets are now common and require scalable analysis tools. Machine learning provides such tools and is widely used for modelling problems across many fields including artificial intelligence, bioinformatics, finance, marketing, education, transportation, and health. In this context, we study how standard machine learning models for supervised (classification, regression) and unsupervised learning (for example, clustering and topic modelling) can be scaled to massive datasets using modern computation techniques (for example, computer clusters). In addition, we will discuss recent models for recommender systems as well as for decision making (including multi-arm bandits and reinforcement learning). Through a course project students will have the opportunity to gain practical experience with the analysis of datasets from their field(s) of interest. A certain level of familiarity with computer programming will be expected.Themes covered
1) distributed and parallel computation
2) Supervised learning
3) Non-supervised learning
4) Reinforcment learning
5) Recommendations system
6) Sequential decision making
See the course webpageImportant notesCourse in French : MATH 60629 Prerequisite(s) : MATH 60600(A) and MATH 60602. Only for specializations other than Data Sc. and Bus. Analytics. The PhD course MATH 80629A is now a MSc course -
MATH 60621ANatural Language ProcessingSubjectMathématiquesProgramMaîtrise en gestion (M. Sc.)LocationCôte-des-NeigesInstruction modeOn-site learningCredits3The subjects covered will include the structure of natural language data and how it may be used for downstream tasks such as document search and classification, text generation, and text summarization, using both heuristic-based and neural-network based language modeling. This course expects previous experience with the programming language Python, though no previous experience with machine learning is required.Themes covered
The nature of text data
Preprocessing: tokenization and lemmatization
Bag-of-words topic models and naive classification
N-gram language models (Markov models)
Hidden Markov models and part-of-speech tagging
Distributed representations and vector semantics
Recurrent neural language models LSTMs and language generation
Transformers and masked language modeling
Encoder models and semantic search
Encoder-decoder models text summarization and translationSee the course webpageImportant notesCourse in French: MATH 60621 -
FINA 60218ARisk ManagementSubjectFinanceProgramMaîtrise en gestion (M. Sc.)LocationCôte-des-NeigesInstruction modeOn-site learningCredits3The course is mainly dedicated to the corporate finance dimension of risk management by presenting different theoretical models that justify risk management, and by performing empirical verification of different theoretical propositions. It also proposes statistical modeling to identify the importance of different risks and of their variations according to economic cycles. Default, liquidity and operational risks during the financial crisis that began in 2007 are analyzed in detail.Themes covered
1. Risk management: definition and historical development
2. Theoretical determinants of risk management in non-financial firms
3. Risk management and investment financing
4. Significant determinants of risk management of non-financial firms
5. Choice of hedging instruments and maturities in the oil industry
6. Value at risk: measurement implications and back-testing
7. CVaR or conditional VaR
8. Market risk VaR in portfolios with options
9. Regulation of bank risk and use of VaR
10. Bank credit risk: scoring of individual risks
11. Portfolio management of credit risk
12. Quantification of banks' operational risk 13. Liquidity risk
14. Structured finance risk management and financial crisis of 2007-2009
15. Risk management and corporate governance 16. Value of risk management
17. Optimal financial contracts and incentives for borrowers 18. Climate risk: measurement management and climate derivatives
18. Term structure of risk: forecasting and the calculation of VaRSee the course webpageImportant notesCourse in French : FINA 60218
M. Sc. finance: Préalable(s): MATH 60207(A) ou 60230(A), et MATH 60210(A) ou 60231(A), et FINA 60211(A) ou 60232(A), et FINA 60204(A) M. Sc. économie financière appliquée: Préalable(s): MATH 60837(A)(Co) ou être admis à la M. Sc. ingénierie financière
Elective
- A master's or PhD-level course at HEC Montréal
- Master's-level course (3 credits) at another university
All courses at another university must be pre-approved by the academic advisor for the specialization.
1 compulsory activity and the supervised project
Before completing the 9-credit supervised project, you must successfully complete the non-credit activity.
-
ETHI 66200AResponsible Conduct of Research: From Norms to PracticeSubjectÉthique et gouvernanceProgramMaîtrise en gestion (M. Sc.)LocationOtherInstruction modeAsynchronous distance learningCredits0Throughout this course, students will become familiar with what constitutes ethically and responsibly conducted research. They will be able to identify and assess potential problems and misconducts, to recognize individual and institutional responsibilities, and to mobilize appropriate mechanisms for resolution. The course will enable them to identify problematic situations in research and deploy appropriate analyses and/or procedures to prevent or manage them.Themes covered
Responsible conduct of research (RCR): History and definitions
The values underlying the responsible conduct of research
Framing the responsible conduct of research
Responsible research conduct issues related to research contexts fields or methods
Research ethics
Good research data management
Conflicts of interest in research
Power issues in research
Dissemination of research results: good practices and issues
Societal impacts of research
Misconducts in researchSee the course webpageImportant notesCourse in French : ETHI 66200 All information about this course will be presented in ZoneCours. A synchronous distance learning session will be offered each term. For more information, visit the supervised project page.
This workshop is only open to students in the Supervised Project stream. If you are in the Thesis stream, you must register to the ETHI 66201(A) workshop. -
INDV 66202ASupervised ProjectSubjectProjet individuelProgramMaîtrise en gestion (M. Sc.)LocationCôte-des-NeigesOtherInstruction modeBlended synchronous learningOn-site learningCredits9The supervised project offers various means to showcase the knowledge they acquired. The "applied" dimension of projects constitutes the first characteristic of the supervised project stream. This can consist of an intervention mandate within an organisation (analysis work, intervention and recommendations with the use of support tools such as observation, interviews, surveys, documentary research) or a research mandate within the university (research mandate, case writing or expert opinion).Themes covered
The supervised project in one of the following forms:
A mandate to intervene in an organization (making a diagnosis; Participating in the planning and implementation of management practices; Designing tools and models that can be used as the basis for decision-making; Performance analysis of an organisation's activities; Making recommendations on a problem).
A university mandate (1) the study of a case; 2) a specific search mandate; 3) an expert opinion; 4) an entrepreneurial project).
See the course webpageImportant notesThe supervised project must last a maximum of 6 months, including report writing. To register, visit the supervised project page
Préalable(s) : ETHI 66200(A) (Co)
If your previous training does not meet the requirements of the specialization, you will need to take one or more preparatory undergraduate courses. You have one year to take these courses, preferably at the start of your MSc studies.
-
FINA 20205AFinancial ManagementSubjectFinanceProgramBachelor’s degree (BBA)LocationCôte-des-NeigesInstruction modeOn-site learningCredits3Establishment of connections between the concepts presented in class and real situations.Themes covered
1.Décision d'investissement.
2. Structure de financement.
3. Outils de financement.
4. Relations entre décisions d'investissement et de financement.
5. Dividendes.
See the course webpageImportant notesCourse in French : FINA 20205 Prerequisite(s) : FINA 10200(A) -
FINA 20210AFutures and OptionsSubjectFinanceProgramBachelor’s degree (BBA)LocationCôte-des-NeigesInstruction modeOn-site learningCredits3The following topics will be covered: Introduction to derivatives markets; Forward and Futures market operations; Hedging strategies using futures; Determining forward prices; Futures on interest rates; Interest rate swaps; Options market operations; Options price determination and uses; Use of option contracts to determine hedging strategies.See the course webpageImportant notesCourse in French : FINA 20210 Prerequisite(s) : FINA 10200(A)
-
MATH 20607Mathématiques appliquées ISubjectMathématiquesProgramBachelor’s degree (BBA)LocationCôte-des-NeigesInstruction modeOn-site learningCredits3Ce cours est tout particulièrement destiné aux personnes ayant choisi de se spécialiser en analytique d'affaires, ainsi qu'à celles qui se destinent à des études avancées en économie, finance ou mathématiques. Ce cours couvre plusieurs notions essentielles, dont le calcul matriciel, l'algèbre vectorielle, l'analyse de fonctions de plusieurs variables et l'optimisation. Plusieurs exemples d'application de ces méthodes sont exposés, notamment dans les domaines de l'analytique d'affaires, de l'économie et de la finance.Themes covered
Calcul matriciel et algèbre vectorielle : algèbre des matrices solution de systèmes d'équations linéaires;
Espaces vectoriels : produit scalaire projections valeurs et vecteurs propres;
Applications : chaînes de Markov flux dans les réseaux modèles d'intrants/extrants infographe;
Fonctions de plusieurs variables : dérivées partielles gradient et hessien continuité convexité formes quadratiques;
Optimisation sans contrainte : conditions d'optimum analyse de convexité;
Optimisation sous contraintes (égalité) : substitution Lagrangien conditions d'optimum interprétation des multiplicateurs;
Calcul intégral : rappel intégration multiple règle de Leibniz théorème de FubiniSee the course webpageImportant notesPréalable(s) : MATH 20604(A) (Co) -
MATH 20609Mathématiques appliquées IISubjectMathématiquesProgramBachelor’s degree (BBA)LocationCôte-des-NeigesInstruction modeOn-site learningCredits3Le cours aborde les raffinements les plus fréquents des modèles de base usuels, notamment les systèmes non linéaires, les systèmes dynamiques, et les systèmes impliquant plusieurs décideurs. L'accent est porté sur trois habiletés essentielles : la mise au point de modèles mathématiques pertinents, la maîtrise des méthodes de solution numériques et analytiques, et l'analyse et la mise en œuvre des solutions.Themes covered
Séquences séries limites
*Introduction à la topologie approximation par point fixe retour sur les espaces métriques
Solutions d'équations non linéaires
*Méthodes erreurs numériques et conditionnement complexité convergence
Systèmes dynamiques déterministes
*Équations aux différences équations différentielles solutions de systèmes linéaires
*Diagrammes de phase état stationnaire forward/backward
Optimisation dynamique
*Commande optimale
*Programmation dynamique
Introduction à la théorie des jeux
*Modèles coopératifs modèles non-coopératifs
Synthèse
See the course webpageImportant notesPréalable(s) : MATH 20607 -
MATH 60699AMathematics for Financial EngineeringSubjectMathématiquesProgramMaîtrise en gestion (M. Sc.)LocationCôte-des-NeigesInstruction modeOn-site learningCredits4This course prepares students for the MSc courses in financial engineering. More specifically, it reviews basic concepts in probability and covers advanced topics in stochastic modeling and processes. Next, it discusses some topics in linear algebra and their connections to the ones discussed in probability. Finally, selected topics in the single and the multivariabe calculus and differential equations are covered.Themes covered
Probability and Random Variables: basic concepts of probability discrete random variables continuous random variables
Multiple Random Variables and Stochastic Processes: Multiple RVs stochastic processes stochastic convergence limit theorems
Common Stochastic Processes: Poisson process Markov chains in discrete-time Markov chains in continuous-time Brownian motions
Linear Algebra and its connections to probability: vector spaces singular value decomposition the Perron-Frobenius theorem and their connections to notions of probability
Review of basic topics in single variable and multivariable calculus
Differential equations: Ordinary differential equations partial differential equations linear heat equationSee the course webpageImportant notesCourse in French : MATH 60699 This course is a preparatory course.
Cours réservé aux étudiant(e)s du programme de phase préparatoire à la MSC. -
FINA 20203APortfolio ManagementSubjectFinanceProgramBachelor’s degree (BBA)LocationCôte-des-NeigesInstruction modeOn-site learningCredits3This course aims to teach and apply the concepts introduced in FINA 20201A introduction to investments and FINA 20210A Futures and Options. Some of the subjects that are covered include, among others, the process of portfolio management for individual and institutional investors, modern portfolio theories, hedging portfolios strategies, investment styles et strategies. Asset valuation and portfolio composition are also examined. As part of a team, the student must elaborate an investment policy statement for a fictitious client and manage his portfolio in a simulated environment.See the course webpageImportant notesCourse in French : FINA 20203 Prerequisite(s) : FINA 20201(A)
-
MATH 20602AProbabilistic and Stochastic Models in BusinessSubjectMathématiquesProgramBachelor’s degree (BBA)Instruction modeOn-site learningCredits3This course is an advanced study of probability theory and an introduction to stochastic modeling and its applications in finance, economics and business analytics. Markov chains are widely used in many descriptive and prescriptive models, especially for describing the evolution and optimization of dynamic systems. Poisson processes are used for the enumeration of discrete events and are involved in queuing models and their applications in computer science, telecommunications, services, and transportation. Renewal processes are used in reliability and systematic maintenance. Brownian motions are the basis of several stochastic models used in finance. The concepts covered in this course are essential preparation for the fields of quantitative finance, stochastic optimization, and decision making under uncertainty.Themes covered
Review of probability theory; stochastic modeling
Conditional probability and expectation
Markov chains and their asymptotic behavior
Poisson processes
Markov chains in continuous time
Renewal phenomena
Brownian motion and other related processes
Queueing systemsSee the course webpageImportant notesCourse in French : MATH 20602 Prerequisite(s): MATH 10620(A)
Deadlines for submitting admission applications
- Fall term: no later than March 1st
- Winter term: no later than September 15th
- Summer term: no admissions
International applicants
Apply in fall term to allow more time to obtain immigration documents (minimum 2 months). Please note, however, that it is possible to defer your admission to the following term free of charge if the deadlines are extended.
Conditions and required documents
Select the education system in which you studied:
Quebec or Canadian system
Quebec or Canadian system
Degree required
You must hold an undergraduate degree of at least 90 credits (bachelor's degree) in business administration or in a related field, or a degree deemed equivalent by the program administration.
The following fields of study are prioritized: actuarial science, economics, finance, engineering, mathematics, and pure or applied science.
Minimum GPA
You must have earned GPA of at least 3.0 out of 4.3 for your undergraduate degree. If the university in which you completed this degree requires a higher GPA for admission to a graduate program, this is the average to take into account.
You have the required level of English if you meet one of the criteria showing that you are an English speaker by virtue of your education.
Otherwise, you must pass an English test or complete an English program with a level of intermediate-advanced.
Documents required for admission
You will need to provide documents as part of the admission process.
Capacity is limited for certain programs. HEC Montréal does not guarantee that all eligible applicants will be accepted.
French system
French system
Degree required
You must hold at least a general Licence degree or a State-recognized bachelor's degree after at least 3 years of university studies (180 ECTS) in management or a related field.
Not eligible:
- RNCP certifications
- Bachelor universitaire de technologie (BUT)
- Bachelor's and License degrees including a technical degree (BTS or DUT)
The following fields of study are prioritized: actuarial science, economics, finance, engineering, mathematics, and pure or applied science.
Minimum GPA
You must have earned an average of at least 12 out of 20 for all years of university studies.
You have the required level of English if you meet one of the criteria showing that you are an English speaker by virtue of your education.
Otherwise, you must pass an English test or complete an English program with a level of intermediate-advanced.
Documents required for admission
You will need to provide documents as part of the admission process.
Capacity is limited for certain programs. HEC Montréal does not guarantee that all eligible applicants will be accepted.
Another system
Another system
Degree required
You must hold a State-recognized university degree that provides access to a master's program at the home university (180 ECTS) in management or a related field.
Not eligible: bachelor’s or License degrees including a technical degree (BTS, DTS, or DUT).
The following fields of study are prioritized: actuarial science, economics, finance, engineering, mathematics, and pure or applied science.
Minimum GPA
You must have earned an average of at least 12 out of 20 or a comparable average for all years of university studies according to the country’s grading system.
You have the required level of English if you meet one of the criteria showing that you are an English speaker by virtue of your education.
Otherwise, you must pass an English test or complete an English program with a level of intermediate-advanced.
Documents required for admission
You will need to provide documents as part of the admission process.
Capacity is limited for certain programs. HEC Montréal does not guarantee that all eligible applicants will be accepted.
Estimated tuition fees
The amounts below are approximate. For the detailed amounts per credit or per term, see the tuition fee schedule for the thesis stream (PDF, 109 Kb) or the supervised project stream (PDF, 105 Kb). These amounts do not include the cost of health insurance, course materials, housing, or other expenses.
Each term, you will receive a bill with the exact amount you owe based on your credit load.
Fees are calculated per term for the thesis stream and per credit for the supervised project stream.
You pay the Quebec rate if you are a resident of Quebec according to certain criteria, such as having a Quebec birth certificate or a Québec Selection Certificate.
Total cost of a 45-credit program at full time
- Thesis (4 terms): $6,900
- Supervised project: $7,600
See if you meet one of the Quebec residence criteria.
You pay the Canadian rate if you are a citizen by birth or naturalization, an Indigenous person, or a permanent resident of Canada.
Total cost of a 45-credit program at full time
- Thesis (4 terms): $16,500
- Supervised project in English: $22,000
- Supervised project in French: $17,200
See whether you can receive an exemption and pay the Quebec rate.
Through an agreement between governments, you are eligible for an exemption allowing you to pay the Quebec rate instead of the international rate.
Total cost of a 45-credit program at full time
- Thesis (4 terms): $6,900
- Supervised project: $7,600
Check the conditions you must meet to receive this exemption.
You pay the international rate if you are from a country outside Canada. There is no exemption for your situation.
Total cost of a 45-credit program at full time
- Thesis (4 terms): $33,500
- Supervised project: $37,800
These fees give you priority registration for the course INTE 60004 Expérience Québec (in French) and a French language course to help you adapt to the Quebec and Canadian job markets.
See whether you can receive an exemption and pay the Quebec or Canadian rate.
To ensure the proper rate is applied, you may need to provide documents proving your legal status once you have been admitted.
Scholarships
Every year, HEC Montréal awards close to $1.6 million in scholarships and other forms of awards to M.Sc. students. What a great way to help finance your studies!
These scholarships, worth from $2,000 to $10,000, are awarded by the MSc in Administration program office to the top candidates admitted, based on their academic record at the time of admission.
There are no applications to be completed; successful candidates will be notified by e-mail.
Federal and Quebec government granting agencies award scholarships worth $20,000 and $27,000 to students with an excellent average and who wish to pursue their studies at the Master’s level.
Social Sciences and Humanities Research Council of Canada (SSHRC)
Annual $27,000 scholarships for students in all specializations except Financial Engineering, Data science and business analytics and Business Intelligence.
Deadline: December 1st every year
Natural Sciences and Engineering Research Council of Canada (NSERC)
Annual $27,000 scholarships for students in the Financial Engineering, Data science and business analytics and Business Intelligence specializations.
Deadline: December 1st every year
Fonds de recherche du Québec – Société et culture (FRQSC)
Annual $20,000 scholarships, awarded for two years, for students in all specializations except Financial Engineering, Data science and business analytics and Business Intelligence.
Deadline: Usually during the 2nd week of October
Fonds de recherche du Québec – Nature et technologie (FRQNT)
Annual $20,000 scholarships, awarded for two years, for students in the Financial Engineering, Data science and business analytics and Business Intelligence specializations.
Deadline: Usually during the 1st week of October
$15,000 scholarships awarded for a 4-6 months research internship in a company. Students in the supervised project or thesis streams are eligible for these scholarships.
Applications may be submitted at any time (ideally 3 months before the project begins)
Exemptions offered by HEC Montréal
HEC Montréal offers a number of differential tuition fee exemptions to international newly admitted in the thesis stream.
Agreement between the government of Québec and some forty countries
The Quebec government has agreements with some forty countries and a number of organizations, exempting students who come to study in the province from differential tuition fees. The quota depends on the student’s country of origin. Students must contact the persons responsible for managing this program in their home country.
For further information, see the page on exemptions from the diffrential tuition fees.
- Financial assistance from the Government of Quebec
- Work-study programs
- Research and teaching assistantships (RAs and TAs)