Ph.D. Thesis (CEREMADE and Dep. of Mathematics, University Paris IX Dauphine)
Title: Simulation Methods for Bayesian Inference on Latent Variables Models
Supervisor: Christian P. Robert
Reviewers: Mark F. J. Steel and Michel Lubrano
Committee: Olivier Cappe, Gilles Celeux, Jean-Michel Marin and Judith Rousseau
First Term (University Paris IX Dauphine and CREST-ENSAE)
Stochastic calculus and stochastic control I, (H. Doss, University Paris Dauphine)
Stochastic processes and Bayesian inference I, (D. Florens, University Paris Dauphine)
Stochastic processes and Bayesian inference II, (C. P. Roberts, University Paris Dauphine and CREST-ENSAE)
Dynamic latent variable models, (A. Monfort, CREST-ENSAE)
Introduction to financial econometrics, (F. Jouneau, CREST-ENSAE)
Controlled Markov Chains, (A. Touati, University Paris Dauphine)
Numerical methods for optimal control and finance I, (A. Sulem, University Paris Dauphine)
Numerical methods for optimal control and finance II, (N. Touzi, University Paris Dauphine)
Introduction to partial differential equations, (R. Taharaoui, University Paris Dauphine)
Financial asset pricing I, (R. A. Dana, University Paris Dauphine)
Financial asset pricing II, (P.-L. Lions, University Paris Dauphine)
Arbitrage pricing theory and asset pricing, (E. Jouini, University Paris Dauphine)
Second Term (University Paris IX Dauphine and CREST-ENSAE)
Stochastic calculus and stochastic control II, (H. Doss, University Paris Dauphine)
Markov chain Monte Carlo methods, (C. P. Robert, University Paris Dauphine, CREST-ENSAE)
GARCH models and stochastic volatility,(J.M. Zakoian, CREST-ENSAE)
Interest rate term structure models, (P. Priaulet, CREST-ENSAE)
Nonlinear econometrics, (D. Fermanian, CREST-ENSAE)
Financial econometrics, (C. Gourieroux, CREST-ENSAE)
Value at risk and portfolio optimization methods, (E. Taflin, CREST-ENSAE)
Post-Graduate Courses for Researchers (CREST-ENSAE)
State space models, hidden Markov chain and particle system, (E. Moulines, CREST-ENSAE)
Weak dependence models and financial application, (P. Doukhan, CREST-ENSAE)
Macroeconometrics, (A. Guay, CREST-ENSAE)
Impulse control and financial applications, (A. Sulem, CREST-ENSAE)
Master Thesis (at CREST-ENSAE)
Title: Econometrics of Credit Risk Models. Supervised by C. Gouriéroux