Pierre Brugière - University Paris 9 Dauphine-PSL

University Paris Dauphine-PSL
My Book 2020

I work at University Paris Dauphine-PSL  where I am responsible for the Master ISF Apprentissage

Before that I spent more than two decades working in the financial industry.

My academic domains of interests nowadays are machine learning and finance

Please find here below some of my academic activities.

This website is still under construction 

A few things on Machine Learning and Finance


2024. How to use the transformer technology of chat GPT for financial series prediction; an application to the S&P 500. 


2023. How to use reinforcement learning  for online portfolio optimization


2023. How to use machine learning and variational encoders to estimate the Value at Risk without any model assumption; an application to the S&P 500


2022. Presentation JP Morgan Global Machine Learning Conference November 2022. Paris.

Quantitative Portfolio Management

This is a course given to Master 1 students in the  MIDO department. My Book includes all the material used in this course plus some additional topics related to:  risk measures, capital allocation, optimisation under parameter uncertainties...etc. It includes also  some Python programs enabling to extract financial data from the web and to run some investment allocations and analysis.

Machine Learning 

This is a course given to M2 students from M280, MASEF and M104. The main applications studied in this course so far are linked to credit risk analysis, fraud detection and yield curve construction under maximum smoothness constraints. More things are under way.

Credit Risk 

This is a course given to M2 students from M280. It tackles mainly the problem of modelling the correlations of  defaults, to analyse and price structured financial instruments such as CDOs and CLOs. 

Executive Master in Asset Management

This is a continuous formation for people working in the investment Management industry that we have put in place  with Pierre Clauss, University Paris Dauphine, ENSAE and Baerchen. The course has three levels, representing 240 hours of teaching and conferences, spanning over 18 months. The program covers quantitative,  monetary policy, economical  and compliance topics.

House of Finance Dauphine-PSL

This is a group federating people working on finance topics at University Paris Dauphine. Some events are organised or coordinated every year by this group such as the House of Finance Days and the  Asset Management Summer Days.

Ask Chat OpenAI (to get answers on almost everything)

Chat Open AI has been designed to assist with answering questions and providing information on a wide range of topics. It is a very efficient way to get a first insight into any topic. I give a few examples with the links below.

Examples of Questions