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Our Degree Programs
Establishment
Language of instruction
English
Teaching content
FINANCE
Training officer(s)
L.WAGALATH
Stakeholder(s)
Lakshithe Wagalath
Présentation
Prerequisite
*** Prerequisite: OPTIONS & FUTURES I: HEDGING STRATEGIES
The course futures and options 1 is obviously a prerequisite for futures and options 2. Students who sign up for this module should have basic knowledge of financial markets and institutions. Students should also be comfortable with mathematical modeling, and be also familiar with probability calculus.
In this course, the so-called Black-Scholes formula will not be proved. However, it will be shown to the student how one can obtain this Black-Scholes formula from a (suitable) binomial framework. While not so complicated, this will require familarity with probability and mathematical notations.
The course futures and options 1 is obviously a prerequisite for futures and options 2. Students who sign up for this module should have basic knowledge of financial markets and institutions. Students should also be comfortable with mathematical modeling, and be also familiar with probability calculus.
In this course, the so-called Black-Scholes formula will not be proved. However, it will be shown to the student how one can obtain this Black-Scholes formula from a (suitable) binomial framework. While not so complicated, this will require familarity with probability and mathematical notations.
Goal
At the end of the course, the student should be able to:
- Breakdown complex organizational problems using the appropriate methodology
- Integrate different skills and management disciplines in support of interdisciplinary responsibilities
- Make effectual organizational decisions
- Breakdown complex organizational problems using the appropriate methodology
- Integrate different skills and management disciplines in support of interdisciplinary responsibilities
- Make effectual organizational decisions
Presentation
Chapter 1 Valuation using the no-arbitrage principle.
Chapter 2 Pricing derivatives using the binomial framework.
Chapter 3 Pricing derivatives in continuous time Black-Scholes framework
Chapter 4 Application of the Black-Scholes model in corporate finance: introduction to credit risk.
Chapter 2 Pricing derivatives using the binomial framework.
Chapter 3 Pricing derivatives in continuous time Black-Scholes framework
Chapter 4 Application of the Black-Scholes model in corporate finance: introduction to credit risk.
Modalités
Organization
| Type | Amount of time | Comment | |
|---|---|---|---|
| Présentiel | |||
| Cours interactif | 16,00 | ||
| Travail personnel | |||
| Charge de travail personnel indicative | 14,00 | ||
| Autoformation | |||
| E-Learning | 10,00 | ||
| Overall student workload | 40,00 | ||
Evaluation
One final exam.
Ressources
Bibliography
Fundamentals of Futures and Options Markets - Hull, J.C. (7th edition. Prentice Hall, 2008) -
An Introduction to Derivatives and Risk Management, D Chance, R Brooks, 8th edition, Hartcourt. -
Futures, Options, and Swaps, Kolb, Overdahl, Blacwell Publishing, 2007. -
An Introduction to Derivatives and Risk Management, D Chance, R Brooks, 8th edition, Hartcourt. -
Futures, Options, and Swaps, Kolb, Overdahl, Blacwell Publishing, 2007. -