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Produits dérivés [ LLSMS2015 ]


5.0 crédits ECTS  30.0 h   1q 

Teacher(s) Levasseur Michel ;
Language French
Place
of the course
Louvain-la-Neuve
Main themes The futures markets, the term structure of prices and hedging The options markets, hedging and use of the " Greeks "
Aims The objective of the class is twofold. It is about: a) systemizing and enhancing students' knowledge in financial derivatives: characteristics of financial contracts (traded on organized markets) and uses for hedging purposes; b) motivating students for reading of documents published by the professional organizations in order to prepare professionals able to join specialized departments within banks;
Content The first part of this course is devoted to the study of forward and futures contracts. At the beginning of these markets, only commodities were concerned (more especially agricultural products). We shall to study these contracts. Later, we shall have a careful look at the interets rate related contracts that are now the most active ones. The second part of the course is devoted to the options markets. They were introduced at the beginning of the seventies and concerned the common shares. The ways they are managed, their uses et the rules of an efficient portfolio management will be treated. 1 Commodities futures markets : principles and organization the pit and the transations the clearing the delivery process the speculation 2 The futures prices and the dynamic management of a portfolio backwardation, contango and basis the efficiency of a hedge futures markets and storage policy the arbitrage 3 The basic uses of " notional futures " hedging in the context of rising interest rates hedging in the context of declining interest rates basis and efficiency of hedging cash and carry reverse cross hedging 4 The dynamic management of notional futures contacts the characteristics of a notional contract the factor and the " cheapest " computing the hedge ratio with the duration measures computing the hedge ratio with the correlation measures 5 The futures contracts on short term interest rates the characteristics of the indices (IMM E$ 3months, EURIBOR 3 months,...) the cash settlement hedging interest rates charges hedging financial incomes the methods : strip hedge, rolling strip hedge, one-off hedge, ... 6 The basic uses of options on stocks the characteristics of the contracts bullish uses, bearish uses, speculation on volatility hedging arbitrage and conversion 7 The parity relationships put - call spot parity put - call forward parity 8 The dynamic management of an option portfolio use of the Black and Scholes model the greeks : delta, gamma, theta, vega the delta neutral positions the top and bottom positions 9 Introduction on exotic options forward start options chooser options barrier options lookback options average options Content The case for innovation Innovation concepts Case studies Innovation financing Innovation management processes Methods In-class activities X Lectures X Exercices At home activities X Readings to prepare the lecture X Exercices to prepare the lecture X Paper work
Other information Prerequisites (ideally in terms of competiencies) Evaluation : Class participation and oral examination, in French or English Support : Slides provided through icampus References : Provided during the class Internationalisation X international content (markets arse highly standardized and spread on all the world) Corporate features Skills X writing skills X team work X individual autonomy X critical thinking Techniques and tools for teaching and learning X IT tools X Internet work X modelling X quantitative methods
Cycle et année
d'étude
> Master [120] in Management
> Master 120 of arts in Business engineering
> Master [120] in Economics: General
Faculty or entity
in charge
> CLSM


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