This class exists in these courses :
• IÉSEG > IESEG Degree - Programme Grande École > Semester 2 > 2,00 ECTS

Prerequisites

Basic knowledge of financial markets
Basic knowledge of probability calculus (you must validate the course risk analysis in finance)
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.

Learning outcomes

At the end of the course, the student should be able to:
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-

Course description

Here is the content of the course.
Chapter 1 Introduction
Chapter 2 Futures and options Markets.
Chapter 3 Pricing and hedging strategies

Class type

Class structure

Teaching methods

• E-learning
• Interactive class
• Tutorial

Assessment

Final exam 100%

Recommended reading

• 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.

• Non mandatory reference book (available at the library): Alexander, C., 2008, Market Risk Analysis I - Quantitative Methods in Finance, Wiley. -

Internet resources

• IESEG online