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Accueil - Introduction à la théorie des produits dérivés (4435)

Introduction à la théorie des produits dérivés (4435)

Code interne : 4435
Programme de cours :

(mars 2020)

Responsable : Madame le professeur nathalie COLUMELLI

A derivative is any financial instrument, whose payoffs depend in a direct way on the value of an underlying asset at a time in the future. Derivatives are contracts
–    to buy or sell the underlying asset at a future time, with the price, quantity and other specifications defined today
–    that give the right to buy or sell the underlying asset at a future time, with the price, quantity and other specifications defined today
This course places emphasis on market operations and the valuations of forward, futures, swaps, and options contracts and their interrelations. Major topics of trading strategies include hedging, arbitrage and speculation, on stock index, interest rate instruments, commodities and foreign currencies.
–    At the end of the course, students should be able to do the followings:
Knowledge: Students will have an understanding of
–    The organization of derivative markets
–    The uses and market functions of financial derivatives
–    Basic theories on valuations of financial derivatives
–    The relationships of financial derivatives with other financial instruments
–    The concepts of hedging, arbitrage, and management of financial risks
Skills: Students will learn to
–    Use various basic financial functions and models in financial calculations
–    Use basic statistical and mathematical concepts in developing derivative strategies
Application abilities: Students will be able to
–    Formulate hedging, arbitrage, and speculative strategies with derivatives
–    Apply derivative pricing models to evaluate performances of financial assets and positions
–    Compare relative performances of various financial instruments and investment strategies
–    Evaluate the major effects of market (in)efficiencies  
Values and Attitudes: Students will be able to
–    Understand the risk of the misuse and/or abuse of financial derivatives
–    Understand market failures caused by excessive risk-taking with financial derivatives