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Establishment
Language of instruction
English
Teaching content
FINANCE
Training officer(s)
P.COGNEAU
Stakeholder(s)
Philippe Cogneau
Présentation
Prerequisite
Basic notions in financial mathematics (present value of a cash flow).
Understanding of classical financial products (shares, bonds…)
Understanding of classical financial products (shares, bonds…)
Goal
- 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
- 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
Presentation
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 did the crisis in 2007 started
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 did the crisis in 2007 started
Modalités
Organization
| Type | Amount of time | Comment | |
|---|---|---|---|
| Présentiel | |||
| Cours magistral | 10,00 | ||
| Travaux dirigés | 6,00 | ||
| Travail personnel | |||
| Charge de travail personnel indicative | 28,00 | ||
| Autoformation | |||
| Lecture du manuel de référence | 6,00 | ||
| Overall student workload | 50,00 | ||
Evaluation
The final exam is a mix of theoretical topics seen during the lectures and of numeric applications of the theory.
Ressources
Bibliography
John Hull: "Fundamentals of Futures and Options markets" -