Derivative Securities

Teacher(s)

Fox Mathilde (compensates Platten Isabelle); 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.

Learning outcomes

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.

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.

Teaching methods

Lectures, flipped classroom, exercises and case studies

Evaluation methods

• Written examination (open questions)
  

Online resources

Student corner

Bibliography

Faculty or entity

CLSM