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Establishment
Language of instruction
English
Teaching content
FINANCE
This course occurs in the following program(s)
MSc in Investment Banking and Capital Markets
- Crédits ECTS: 2.00
Training officer(s)
V.DUPONT
Stakeholder(s)
Vincent DUPONT
Présentation
Prerequisite
Background : math, statistics, financial market
Goal
At the end of the course, the student should be able to:
Overview :
The goal of this course is to demystify and to popularize the concept of derivatives and to give the keys to the student to continue his learning process.
The derivatives will be presented under two different aspects : the technical and the practical part.
In this subject, it is essential for the student to understand the concept and the different types of contracts such as futures, forwards and options, their features, the sensitivities of the instruments to some changes in the underlying parameters (the greeks), the pricings of derivatives (black and Scholes, binomial trees,…). The course will also cover a specific topic which is often very abstract for many people : the volatility.
In order to make things more concrete, an extensive use of Bloomberg (calculator, option monitor) will be performed throughout the course. The idea is to make the student familiar with some tools that can help him in the future.
Afterwards, we will translate these concepts into real life examples. I will give a complete overview of the use of derivatives in : asset management, hedge funds, trading desk, corporate. I will describe the whole operational chain from the client needs to the trading desk and how risks could hedged in the market
Learning Obejctives :
1.C Communicate effectively in English
2.B Solve professional dilemmas using concepts of CSR and ethics
5.A. Predict how business and economic cycles could affect organizational strategy
7.C Effectively apply in-depth specialized knowledge to take advantage of contemporary opportunities in their professional field
Overview :
The goal of this course is to demystify and to popularize the concept of derivatives and to give the keys to the student to continue his learning process.
The derivatives will be presented under two different aspects : the technical and the practical part.
In this subject, it is essential for the student to understand the concept and the different types of contracts such as futures, forwards and options, their features, the sensitivities of the instruments to some changes in the underlying parameters (the greeks), the pricings of derivatives (black and Scholes, binomial trees,…). The course will also cover a specific topic which is often very abstract for many people : the volatility.
In order to make things more concrete, an extensive use of Bloomberg (calculator, option monitor) will be performed throughout the course. The idea is to make the student familiar with some tools that can help him in the future.
Afterwards, we will translate these concepts into real life examples. I will give a complete overview of the use of derivatives in : asset management, hedge funds, trading desk, corporate. I will describe the whole operational chain from the client needs to the trading desk and how risks could hedged in the market
Learning Obejctives :
1.C Communicate effectively in English
2.B Solve professional dilemmas using concepts of CSR and ethics
5.A. Predict how business and economic cycles could affect organizational strategy
7.C Effectively apply in-depth specialized knowledge to take advantage of contemporary opportunities in their professional field
Presentation
Overview :
The course will be presented as the following : a) Introduction of derivatives products ; b) the analyze (math, sensitivities,…) of futures, forwards, options and some others derivatives; c) Greeks and volatility concept; d) use of derivatives by investors and hedging strategies. Examples and Bloomberg terminal will be associated at each steps of the course.
Learning Objectives
LO1C : Lessons, Exams and case study given in English
LO2B: explanations of the regulatory concepts around derivatives and the ethic and transaprancy needed to commercialize those products.
LO5A : the course covers some concrete examples of how economic cycle could weight on the risk/reward of derivatives
LO7C : the course enters in details in the model and the sensitivities of the derivatives products
The course will be presented as the following : a) Introduction of derivatives products ; b) the analyze (math, sensitivities,…) of futures, forwards, options and some others derivatives; c) Greeks and volatility concept; d) use of derivatives by investors and hedging strategies. Examples and Bloomberg terminal will be associated at each steps of the course.
Learning Objectives
LO1C : Lessons, Exams and case study given in English
LO2B: explanations of the regulatory concepts around derivatives and the ethic and transaprancy needed to commercialize those products.
LO5A : the course covers some concrete examples of how economic cycle could weight on the risk/reward of derivatives
LO7C : the course enters in details in the model and the sensitivities of the derivatives products
Modalités
Organization
| Type | Amount of time | Comment | |
|---|---|---|---|
| Présentiel | |||
| Cours magistral | 16,00 | theorical concept | |
| Autoformation | |||
| Lecture du manuel de référence | 14,00 | Slides and books | |
| Recherche | 10,00 | bloomberg manual for derivatives | |
| Travail personnel | |||
| Group Project | 10,00 | bloomberg manual for derivatives | |
| Overall student workload | 50,00 | ||
Evaluation
Class will take place during 4 days (same week) and 16 hours course. The Bloomberg terminal have to remain available throughout the lessons. The final assessment will be based on : class participation (15%), a case study (35%) and a final exam (mix : MCQ, theory and exercises).
| Control type | Duration | Amount | Weighting |
|---|---|---|---|
| Contrôle continu | |||
| Participation | 3,00 | 0 | 15,00 |
| Examen (final) | |||
| QCM | 1,00 | 0 | 20,00 |
| Examen écrit | 1,00 | 0 | 30,00 |
| Autres | |||
| Etude de cas | 10,00 | 1 | 35,00 |
| TOTAL | 100,00 | ||
Ressources
Bibliography
Bodie, Kane and Marcus. Investments. Fifth edition. Mc Graw Hill. Chapters 20, 21, 22 and 23 -
John Hull. Options, Futures, and Other Derivatives. Pearson/Prentice Hall (optional) -
John Hull website : Options, Futures, and Other Derivatives -
John Hull. Options, Futures, and Other Derivatives. Pearson/Prentice Hall (optional) -
John Hull website : Options, Futures, and Other Derivatives -