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Capital Markets Theory [ LECON2605 ]


5.0 crédits ECTS  30.0 h   2q 

This biannual course is taught on years 2010-2011, 2012-2013, ...

Language English
Place
of the course
Louvain-la-Neuve
Main themes We will start to investigate the basic concepts in a simple binomial model in discrete time before generalizing them to general dynamic markets in discrete time. Before extending the concepts to continuous time, we will introduce the main mathematical tools of stochastic calculus. We will analyze applications to pricing of options on stocks and on interest rates via change of numeraire techniques.
Aims The student will be able to master financial concepts related to modern asset pricing theory by arbitrage. This will allow him to get the knowledge necessary to evaluate most prices of financial derivatives on stock and in-terest rates.
Content We will present the main theoretical concepts and apply them in exercises to help for a better understanding.
Other information The students should have basic knowledge in probability and statistics, mathematics, and finance. The evaluation will be an oral exam. The support is made of slides and exercises with their correc-tions.
Cycle et année
d'étude
> Master [60] in Economics : General
> Master [120] in Economics: General
> Master [120] in Economics: Econometrics
Faculty or entity
in charge
> ECON


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