Actualités et agenda
Nos formations
Établissement
Langue d'enseignement
English
Matières
FINANCE
Responsable(s)
Y.BRAOUEZEC
Intervenant(s)
Yann Braouezec Paul Zimmerman
Présentation
Prérequis
Basic knowledge of financial markets
Basic knowledge of probability calculus (you must validate the course risk analysis in finance)
Familarity with mathematical notations
Students must be confortable with basic probability calculus (expectation, variance, basic discrete distrbution…) and with mathematical modeling. A tutorial wil be devoted to the computation of the payoff generated by a linear combination of (vanilla) options. Another tutorial will be devoted to option pricing using risk-neutral probabilities.
Students must be aware that, they will be asked to learn by themselves the descriptive material.
Basic knowledge of probability calculus (you must validate the course risk analysis in finance)
Familarity with mathematical notations
Students must be confortable with basic probability calculus (expectation, variance, basic discrete distrbution…) and with mathematical modeling. A tutorial wil be devoted to the computation of the payoff generated by a linear combination of (vanilla) options. Another tutorial will be devoted to option pricing using risk-neutral probabilities.
Students must be aware that, they will be asked to learn by themselves the descriptive material.
Objectifs
At the end of the course, the student should be able to:
Understand the mechanics of futures and options markets.
-Understand what a clearing house is.
-Understand the main function of a clearing house (CCP)
-Understand the basic debate about the clearing of TOC derivatives (EMIR)
-Understand hedging/speculation strategies with futures and options.
-Understand risks associated with forwards, futures and options.
-Understand the basic of pricing in a binomial model-
Understand the mechanics of futures and options markets.
-Understand what a clearing house is.
-Understand the main function of a clearing house (CCP)
-Understand the basic debate about the clearing of TOC derivatives (EMIR)
-Understand hedging/speculation strategies with futures and options.
-Understand risks associated with forwards, futures and options.
-Understand the basic of pricing in a binomial model-
Présentation
Here is the content of the course.
Chapter 1 Introduction
Chapter 2 Futures and options Markets.
Chapter 3 Pricing and hedging strategies
Chapter 1 Introduction
Chapter 2 Futures and options Markets.
Chapter 3 Pricing and hedging strategies
Modalités
Organisation
| Type | Amount of time | Comment | |
|---|---|---|---|
| Présentiel | |||
| Cours interactif | 16,00 | ||
| Travail personnel | |||
| Charge de travail personnel indicative | 44,00 | ||
| Overall student workload | 60,00 | ||
Évaluation
Final exam 100%
Ressources
Bibliographie
Fundamentals of Futures and Options Markets - Hull, J.C. (7th edition. Prentice Hall, 2008). -
Remark: this book is far from beeing the best but it is probably the simplest and the most well-known NB: chapter 11 and 12 of the book of Hull will be part of the program. Students should check before signing the course that this material might be difficult if they are not confortable with mathetical modeling.
Derivatives: Sundaram R, Das S, Principles and Practice, Mc Graw Hill. -Remark: this book is more advanced than the book of Hull and can be used for this course.
Non mandatory reference book (available at the library): Alexander, C., 2008, Market Risk Analysis I - Quantitative Methods in Finance, Wiley. -Ressources Internet