Actualités et agenda
Nos formations
Établissement
Langue d'enseignement
English
Matières
FINANCE
Responsable(s)
L.WAGALATH
Intervenant(s)
Lakshithe Wagalath
Présentation
Prérequis
*** 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.
Objectifs
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
Présentation
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
Organisation
| 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 | ||
Évaluation
One final exam.
Ressources
Bibliographie
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. -