5 credits
30.0 h
Q1
Teacher(s)
Platten Isabelle;
Language
French
Prerequisites
MGEST1219 FINANCE
Main themes
This course provides students with a framework :
- to understand the fundamental concepts of derivative
products (forward and futures, swaps, options);
- to develop the necessary skills used in valuing derivative
contracts (Ito's process, risk neutral valuation);
- to understand a wide variety of issues related to risk
management and investment decisions using derivatives.
- to understand the fundamental concepts of derivative
products (forward and futures, swaps, options);
- to develop the necessary skills used in valuing derivative
contracts (Ito's process, risk neutral valuation);
- to understand a wide variety of issues related to risk
management and investment decisions using derivatives.
Aims
At the end of this learning unit, the student is able to : | |
| 1 |
At the end of this course, students will be able to:
|
The contribution of this Teaching Unit to the development and command of the skills and learning outcomes of the programme(s) can be accessed at the end of this sheet, in the section entitled “Programmes/courses offering this Teaching Unit”.
Content
- Features of derivatives securities, such as forward contracts, futures, swaps
and options;
- Risk neutral valuation principle;
- Pricing of derivatives securities, by mathematical models
or by numerical methods;
- Implementation of hedging strategies using derivative securities.
and options;
- Risk neutral valuation principle;
- Pricing of derivatives securities, by mathematical models
or by numerical methods;
- Implementation of hedging strategies using derivative securities.
Teaching methods
Lectures, flipped classroom, exercises and case studies
Evaluation methods
-
Written examination (80%)
-
Ongoing assessment (20%)
-
Ongoing assessment score is definitively acquired
Online resources
Student corner
Bibliography
Hull, Options, Futures, and Other Derivatives (10th Edition), Pearson, 2017
Faculty or entity
CLSM
