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OPTIONS & FUTURES I : HEDGING STRATEGIES

2016-2017

IESEG School of Management ( IÉSEG )

Code Cours :

1617-IÉSEG-M1S2-FIN-MA-PE63UE

FINANCE


Niveau Année de formation Période Langue d'enseignement 
Master1S2English
Professeur(s) responsable(s)Y.BRAOUEZEC
Intervenant(s)Yann BRAOUEZEC, Lakshithe WAGALATH


Pré requis

Basic knowledge of financial markets
Basic knowledge of probability calculus
Familarity with mathematical notations

Students must be confortable with basic probability calculus (expectation, variance, basic discrete distrbution…) and with mathematical modeling. A tutorial wil be devoted to the computation of the payoff generated by a linear combination of (vanilla) options. Another tutorial will be devoted to option pricing using risk-neutral probabilities.

Students must be aware that, they will be asked to learn by themselves the descriptive material.

Objectifs du cours

At the end of the course, the student shouild be able to:
-Understand the mechanics of futures and options markets.
-Understand hedging/speculation strategies with futures and options.
-Understand risks associated with forwards, futures and options.
-Understand the basic of pricing in a binomial model

Contenu du cours

Chapter 1 Introduction
Chapter 2 Futures and options Markets.
Chapter 3 Pricing and hedging strategies


Modalités d'enseignement

Organisation du cours

TypeNombre d'heuresRemarques
Face to face
lecture8,00   Videos may be shown to students.
Tutorials8,00  
Independent study
Estimated personal workload16,00   As a function of the number of students, oral presentations can be required.
Group Project12,00  
Independent work
Research6,00  
Charge de travail globale de l'étudiant50,00  

Méthodes pédagogiques

  • Lecture
  • Tutorial
  • Presentation
  • Project work


Évaluation

This course is an introduction to futures and options markets. It will introduced the students the basic knowledge about futures and options markets and an elementary introduction to the pricing of these two types of derivatives.

Type de ContrôleDuréeNombrePondération
Final Exam
Written exam2,001100,00
TOTAL     100,00

Bibliographie

  • Fundamentals of Futures and Options Markets - Hull, J.C. (7th edition. Prentice Hall, 2008). -

    Remark: this book is far from beeing the best but it is probably the simplest and the most well-known.

    NB: chapter 11 and 12 of the book of Hull will be part of the program. Students should check before signing the course that this material might be difficult if they are not confortable with mathetical modeling.

  • Derivatives: Sundaram R, Das S, Principles and Practice, Mc Graw Hill. -

    Remark: this book is more advanced than the book of Hull and can be used for this course.


Ressources internet



 
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