UCL - MATHEMATICS OF FINANCIAL MARKETS

[ACTU2020]

[30h] 5 credits

This course is taught in the 1st semester.

Teacher(s): Pierre Devolder

Language: French

Level: Second

Aims
Main themes
Content and teaching methods
Other information (prerequisite, evaluation (assessment methods), course materials recommended readings, ...)

Aims

The aim of this course is to present the basic methods of financial deterministic mathematics. At the end of the course, the students must be able to price simple financial products and manage the risks associated with different interest rates.

Main themes

The main theme is the study of interest rates products.
After an introduction devoted to the interest theory, the theory of loans and bonds is developed. The management of interest rates risks in finally analysed.

Content and teaching methods

Content
The following topics will be developed:
1. Generalities on interest
2. Principle of simple interest
3. Principle of compound interest
4. Financial structure with more than 2 cash flows - simple interest
5. Financial structure with more than 2 cash flows - compound interest
6. Annuity
7. Loans
8. Bonds
9. Term structure of interest rates
10. Spot rates
11. Risks of interest rates
12. Duration, convexity and immunisation
Methods
In-class activities
X0 Lectures
X0 Exercices/PT

At home activities
X0 Exercices to prepare the lecture
X0 Paper work

Other information (prerequisite, evaluation (assessment methods), course materials recommended readings, ...)

Evaluation : Class participation and written examination, in French

Support : Slides provided through icampus

References : based on the book : "le financement des régimes de retraites" (Pierre Devolder, Economica, Paris)