Derivative Securities

mlsmm2121  2020-2021  Mons

Derivative Securities
Due to the COVID-19 crisis, the information below is subject to change, in particular that concerning the teaching mode (presential, distance or in a comodal or hybrid format).
5 credits
30.0 h
Platten Isabelle;
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.

At the end of this learning unit, the student is able to :

1 At the end of this course, students will be able to:
- Describe and interpret the general features of basic
types of derivative securities, such as forward and futures
contracts, swaps, options, and basic structured products.
- Apply the No Arbitrage Principle to price derivatives in
an efficient financial market.
- Price derivative securities using mathematical models
and numerical methods.
- Design optimal strategies to use derivative instruments
for financial risk management and for financial engineering.
- 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.
Teaching methods

Due to the COVID-19 crisis, the information in this section is particularly likely to change.

Lectures, flipped classroom, exercises and case studies
Evaluation methods

Due to the COVID-19 crisis, the information in this section is particularly likely to change.

  • Written examination (80%)
  • Ongoing assessment (20%)
  • Ongoing assessment score is definitively acquired
Online resources
Student corner
Hull, Options, Futures, and Other Derivatives (10th Edition), Pearson, 2017
Faculty or entity
Force majeure
Evaluation methods
If sanitary conditions permit, the written examination will take place on site.  If the exam cannot be organized on site, a distance exam will be held in Student Corner in the morning (9am-11am), followed by an oral exam in Teams from 12pm (10 minutes per student)

Programmes / formations proposant cette unité d'enseignement (UE)

Title of the programme
Master [120] in Management

Master [120] : Business Engineering

Master [120] in Management

Master [60] in Management

Master [120] : Business Engineering