OPTIONS & FUTURES I : HEDGING STRATEGIES
Année du cours : 1 année(s)
Etablissement : IÉSEG School of Management
Langue : English
Formation(s) dans laquelle/lesquelles le cours apparait :
Période : S1
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.
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-
Here is the content of the course.
Chapter 1 Introduction
Chapter 2 Futures and options Markets.
Chapter 3 Pricing and hedging strategies
