Capital Markets Theory

Enseignants

Béreau Sophie;

Langue
d'enseignement

Anglais

Thèmes abordés

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.

Acquis
d'apprentissage

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.

La contribution de cette UE au développement et à la maîtrise des compétences et acquis du (des) programme(s) est accessible à la fin de cette fiche, dans la partie « Programmes/formations proposant cette unité d’enseignement (UE) ».

Contenu

We will present the main theoretical concepts and apply them in exercises to help for a better understanding.

Autres infos

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.

Faculté ou entité
en charge

> ECON