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Establishment
Language of instruction
English
Teaching content
FINANCE
Training officer(s)
M.SNARSKA
Stakeholder(s)
M.SNARSKA
Présentation
Prerequisite
- Basic knowledge of financial markets
- Basic knowledge of probability calculus
- Familarity with mathematical notations
- Basic knowledge of probability calculus
- Familarity with mathematical notations
Goal
- Master the determination of the values of diverse derivative securities (learning objective AACSB)
- Describe the principles and mechanisms of hedging of different financial derivatives and calculate the cost of hedging processes
- Input data and calculate the value of financial derivatives (delta-one products -forwards, futures, swaps- and vanilla options -Call, Put-) using Bloomberg
- Build simple dynamic Excel templates to calculate values and sensitivities of forward contracts
- Build simple dynamic Excel templates to calculate approximative values and sensitivities of vanilla options (Call, Put) using the delta hedging method
Communicate effectively in English
Generate sustainable solutions for organizations
Compose constructive personal feedback and guidance
Demonstrate an expertise on key concepts, techniques and trends in their professional field
- Describe the principles and mechanisms of hedging of different financial derivatives and calculate the cost of hedging processes
- Input data and calculate the value of financial derivatives (delta-one products -forwards, futures, swaps- and vanilla options -Call, Put-) using Bloomberg
- Build simple dynamic Excel templates to calculate values and sensitivities of forward contracts
- Build simple dynamic Excel templates to calculate approximative values and sensitivities of vanilla options (Call, Put) using the delta hedging method
Communicate effectively in English
Generate sustainable solutions for organizations
Compose constructive personal feedback and guidance
Demonstrate an expertise on key concepts, techniques and trends in their professional field
Presentation
PART 1
1. Introduction
2. Futures and options Markets.
3. Pricing and hedging strategies
PART 2
1. Introduction to financial derivatives & pricing/valuation principles
2. Valuation of delta-one products (Swaps, forwards, futures) using Bloomberg
3. Valuation of delta-one products using the cost of Hedging method & Excel templates
4. Valuation of vanilla options (Call - Put) using Bloomberg
5. Valuation of vanilla options using the Cost of Hedging method (Delta hedging) & Excel templates
1. Introduction
2. Futures and options Markets.
3. Pricing and hedging strategies
PART 2
1. Introduction to financial derivatives & pricing/valuation principles
2. Valuation of delta-one products (Swaps, forwards, futures) using Bloomberg
3. Valuation of delta-one products using the cost of Hedging method & Excel templates
4. Valuation of vanilla options (Call - Put) using Bloomberg
5. Valuation of vanilla options using the Cost of Hedging method (Delta hedging) & Excel templates
Modalités
Organization
| Type | Amount of time | Comment | |
|---|---|---|---|
| Présentiel | |||
| Cours interactif | 16,00 | ||
| Travail personnel | |||
| Group Project | 7,00 | One group project to be done at the end of the course | |
| Charge de travail personnel indicative | 27,00 | Personal work expected after each class to review practical application of calculation formulas & tips | |
| Overall student workload | 50,00 | ||
Evaluation
Practical calculations of different financial derivatives values using different methods, models, techniques and tools
Ressources
Bibliography
Fundamentals of Futures and Options Markets - Hull, J.C. (7th edition. Prentice Hall, 2008). -