Ce cours apparaît dans les formations suivantes :
• IÉSEG > MSc in Finance > Semestre 2 > 2,00 ECTS

Pré requis

- Basic knowledge of financial markets
- Basic knowledge of probability calculus
- Familarity with mathematical notations

Objectifs du cours

- Master the determination of the values of diverse derivative securities (learning objective AACSB)
- Describe the principles and mechanisms of hedging of different financial derivatives and calculate the cost of hedging processes
- Input data and calculate the value of financial derivatives (delta-one products -forwards, futures, swaps- and vanilla options -Call, Put-) using Bloomberg
- Build simple dynamic Excel templates to calculate values and sensitivities of forward contracts
- Build simple dynamic Excel templates to calculate approximative values and sensitivities of vanilla options (Call, Put) using the delta hedging method
Communicate effectively in English
Generate sustainable solutions for organizations
Compose constructive personal feedback and guidance
Demonstrate an expertise on key concepts, techniques and trends in their professional field

Contenu du cours

PART 1
1. Introduction
2. Futures and options Markets.
3. Pricing and hedging strategies

PART 2
1. Introduction to financial derivatives & pricing/valuation principles
2. Valuation of delta-one products (Swaps, forwards, futures) using Bloomberg
3. Valuation of delta-one products using the cost of Hedging method & Excel templates
4. Valuation of vanilla options (Call - Put) using Bloomberg
5. Valuation of vanilla options using the Cost of Hedging method (Delta hedging) & Excel templates

Modalités d'enseignement

Organisation du cours

Méthodes pédagogiques

• Interactive class
• Project work

Évaluation

Practical calculations of different financial derivatives values using different methods, models, techniques and tools

Bibliographie

• Fundamentals of Futures and Options Markets - Hull, J.C. (7th edition. Prentice Hall, 2008). -