Actualités et agenda
Nos formations
Établissement
Langue d'enseignement
English
Matières
FINANCE
Responsable(s)
H.GATFAOUI
Intervenant(s)
H.GATFAOUI
Présentation
Prérequis
Basics of Financial Markets: knowledge about financial markets, primary assets such as stocks and bonds, valuation of primary assets, interest rates, compounding and discounting processes.
Objectifs
At the end of the course, students should have knowledge about the:
1. Mechanisms of the most used derivatives;
2. Broad principles of derivatives’ valuation and hedging;
3. Elaboration of simple computer-based tools (e.g. Excel) to manage/report derivative positions.
1. Mechanisms of the most used derivatives;
2. Broad principles of derivatives’ valuation and hedging;
3. Elaboration of simple computer-based tools (e.g. Excel) to manage/report derivative positions.
Présentation
The objective of this course is to provide basic knowledge about most used derivatives (e.g. common financial derivatives products). Such knowledge deals with the nature of derivatives, usage and also implications for regulation and related regulatory changes. The focus is globally set on derivatives as well as their use for debt management.
The understanding of derivatives market starts from the diversity of derivatives traders and their different motives for trading such derivatives. Moreover, major derivatives instruments are introduced as well as their interest to risk management. In this light, the hedging properties of derivatives and related possible arbitrage opportunities are highlighted. However, derivatives are also subject to specific risks that investors or derivatives traders should notice.
The course is composed of 4 lectures to be taught across 6 sessions as follows:
• Lecture 1: Introduction, and institutional aspects of futures and forward contracts (2 sessions).
• Lecture 2: Determination of forward and futures prices, and hedging strategies using futures contracts.
• Lecture 3: Swaps (1.5 sessions).
• Lecture 4: Options markets, trading strategies, and exotic options (1.5 sessions).
The understanding of derivatives market starts from the diversity of derivatives traders and their different motives for trading such derivatives. Moreover, major derivatives instruments are introduced as well as their interest to risk management. In this light, the hedging properties of derivatives and related possible arbitrage opportunities are highlighted. However, derivatives are also subject to specific risks that investors or derivatives traders should notice.
The course is composed of 4 lectures to be taught across 6 sessions as follows:
• Lecture 1: Introduction, and institutional aspects of futures and forward contracts (2 sessions).
• Lecture 2: Determination of forward and futures prices, and hedging strategies using futures contracts.
• Lecture 3: Swaps (1.5 sessions).
• Lecture 4: Options markets, trading strategies, and exotic options (1.5 sessions).
Modalités
Organisation
| Type | Amount of time | Comment | |
|---|---|---|---|
| Présentiel | |||
| Cours interactif | 16,00 | The course is split between teaching and applications (i.e. exercises) | |
| Autoformation | |||
| Lecture du manuel de référence | 4,00 | Students are encouraged to complete their knowledge with the reference book. | |
| Travail personnel | |||
| Group Project | 14,00 | The course project will help students apply and manage their knowledge about derivatives. | |
| Charge de travail personnel indicative | 16,00 | Students need to read course materials and to prepare/work on exercises. | |
| Overall student workload | 50,00 | ||
Évaluation
The grading for this course consists of a Group assignment (project or case study) for groups of around 3 students and an Individual written exam with duration 1.5 hours. The final exam will be both problems and eventually well-chosen questions (MCQs).
| Control type | Duration | Amount | Weighting |
|---|---|---|---|
| Examen (final) | |||
| Examen écrit | 1,50 | 1 | 50,00 |
| Autres | |||
| Projet Collectif | 14,00 | 1 | 50,00 |
| TOTAL | 100,00 | ||
Ressources
Bibliographie
Fundamentals of Futures and Options Markets - Primary reference: Hull J. (2014)
8th Edition, Prentice-Hall International, Inc. (Chapters 1 to 10)
Options, Futures, and Other Derivatives - Supplementary reading: Hull J. (2011)8th Edition, Pearson Education.