OPTIONS & FUTURES II : PRICING
Année du cours : 1 année(s)
Etablissement : IÉSEG School of Management
Langue : English
Formation(s) dans laquelle/lesquelles le cours apparait :
Période : S2
*** 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.
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
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.
