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OPTIONS & FUTURES II : PRICING

2017-2018

IESEG School of Management ( IÉSEG )

Code Cours :

1718-IÉSEG-M1S2-FIN-MA-EE67UE

FINANCE


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


Pré requis

TECHNICAL COURSE WITH USE OF MATHEMATICS AND PROBABILITY
The course futures and options 1 is obviously a prerequisite for futures and options 2. Students who sign up for this module should have basic knowledge of financial markets and institutions. Students should also be comfortable with mathematical modeling, and be also familiar with probability calculus.

Students must be sure that they familiar enough with probability and mathematical notations. Before signing, please look at the book of Chance (say on google book).

In this course, the so-called Black-Scholes formula will not be proved. However, it will be shown to the student how one can obtain this Black-Scholes formula from a (suitable) binomial framework. While not so complicated, this will require familarity with probability and mathematical notations.

Objectifs du cours

At the end of the course, the student should be able to:
Understand the pricing of futures and options using no-arbitrage in a binomial framework
Understand the link between option pricing and hedging
Understand what the risk-neutral probabilities are in the binomial framework
Understand the fundamental theorems of asset pricing in a binomial framework
Understand the european pricing of options in a Black-Scholes (continuous time) framework
Understand the application of Black-Scholes pricing formula in corporate finance.

Contenu du cours

Chapter 1 Valuation using the no-arbitrage principle.
Chapter 2 Pricing derivatives using the binomial framework.
Chapter 3 Pricing derivatives in continuous time Black-Scholes framework
Chapter 4 Application of the Black-Scholes model in corporate finance: introduction to credit risk.


Modalités d'enseignement

Organisation du cours

TypeNombre d'heuresRemarques
Face to face
lecture16,00  
Independent study
Estimated personal workload20,00  
Charge de travail globale de l'étudiant36,00  

Méthodes pédagogiques

  • Tutorial
  • Interactive class


Évaluation

The aim of this course is to understand the basics of derivatives pricing. To be profitable, students must ensure that they are confortable with probability calculus and with mathematical notations.

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) -

  • An Introduction to Derivatives and Risk Management, D Chance, R Brooks, 8th edition, Hartcourt. -

  • Futures, Options, and Swaps, Kolb, Overdahl, Blacwell Publishing, 2007. -




 
* Informations non contractuelles et pouvant être soumises à modification
 
 
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