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FUNDAMENTALS OF FINANCIAL DERIVATIVES

2016-2017

IESEG School of Management ( IÉSEG )

Code Cours :

1617-IÉSEG-BA3S2-FIN-B3-EE14UE

FINANCE


Niveau Année de formation Période Langue d'enseignement 
Bachelor3S2English
Professeur(s) responsable(s)P.COGNEAU
Intervenant(s)Philippe Cogneau


Pré requis

Basis notions in financial mathematics.
Understanding of classical financial products (shares, bonds…)

Objectifs du cours

- understand the general principles of derivatives markets
- define what are futures, forwards, swaps,and options; explain how they can be used to hedge a position; compare the advantages and drawbacks of those products, their risks; compute their price
- describe the most common credit risk derivatives

Contenu du cours

1. generalities about derivatives: historical, absence of arbitrage principle…
2. forward contracts, with focus on FX forwards and FRAs
3. futures, with focus on 3M interest rate futures
4. swaps, with focus on interest rate swaps
5. options
6. credit default swaps; securitization, how the crisis in 2007 started


Modalités d'enseignement

Organisation du cours

TypeNombre d'heuresRemarques
Independent study
Estimated personal workload24,00  
Face to face
Interactive class16,00  
Charge de travail globale de l'étudiant40,00  

Méthodes pédagogiques

  • Presentation
  • Tutorial


Évaluation

A written final exam will permit to see if students have assimilated the course.
It will be divided in two parts: 1/3 theory and 2/3 exercises.

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

Bibliographie

  • John Hull: "Fundamentals of Futures and Options markets" -




 
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