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OPTIONS & FUTURES I : HEDGING STRATEGIES

2017-2018

IESEG School of Management ( IÉSEG )

Code Cours :

1718-IÉSEG-M1S2-FIN-MA-EI63UE

FINANCE


Niveau Année de formation Période Langue d'enseignement 
Master1S2English
Professeur(s) responsable(s)Y.BRAOUEZEC
Intervenant(s)Yann Braouezec Paul Zimmerman


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

-Program specific Objectives: Be competent in the field of finance, rigorous and committed to quality (Master the appropriate techniques and display expertise in the field)
-Understand the mechanics of futures and options markets.
-Understand what a clearing house is.
-Understand the main function of a clearing house (CCP)
-Understand the basic debate about the clearing of TOC derivatives (EMIR)
-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

The content of the course is the following:.
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 workload5,00  
Individual Project5,00  
Independent work
Research5,00  
Reference manual 's readings5,00  
Charge de travail globale de l'étudiant36,00  

Méthodes pédagogiques

  • Tutorial
  • Presentation
  • Interactive class


Évaluation

Since this is an intensive course the evaluation is a final exmaination of 2 hours.

Type de ContrôleDuréeNombrePondération
Final Exam
Written exam2,00160,00
Continuous assessment
Oral presentation0,20140,00
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.




 
* Informations non contractuelles et pouvant être soumises à modification
 
 
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