Ce MSc. Financial Markets est un programme international, sur 2 ans (M1 et M2), qui forme des spécialistes des marchés financiers exerçant leurs compétences au service des banques et entreprises d'investissement, des sociétés de gestion d'actifs, des cabinets de conseil, des compagnies d'assurance ou des grandes entreprises. La formation offre aux étudiants des connaissances approfondies, à la fois théoriques, quantitatives et opérationnelles, sur tous les produits négociés sur ces marchés.
Après la 1re année du Master Financial Markets, les étudiantes et les étudiants peuvent choisir entre plusieurs M2, en formation initiale ou en alternance. Avant d’intégrer un M2, ils peuvent réaliser une année de césure si leur cursus le permet, afin de développer une expérience professionnelle en France ou à l’étranger : stage, CDD, service civique, entreprenariat, formation complémentaire…?
En 2ème année de Master, les étudiantes et les étudiants choisissent une spécialisation afin de préciser leur domaine de compétences et se professionnaliser. Ils bénéficieront d’enseignements de haut niveau dispensés par des enseignants-chercheurs de Dauphine et d’intervenants extérieurs issus du monde de l’entreprise.
Enfin, l’université aide les étudiantes et les étudiants, à se préparer à l’entrée sur le marché du travail au travers de nombreux projets professionnels ou dispositifs de stage. Les jeunes diplômés de Dauphine bénéficient ainsi d’un taux d’insertion professionnelle très élevé.
Dans le cas d’un Master recherche, cette 2ème année leur permettra de préparer au mieux leur projet de recherche, pour s’orienter par la suite vers un doctorat.
ECTS : 3
Description du contenu de l'enseignement :
Graduate Assessment Process :
Compétence à acquérir :
The objective of the course is to prepare students to recruitment processes in Financial services. The first part concerns the graduate assessment process. It is followed by mock interviews. It is completed by a "financial markets" seminar that contains testimonials from former students from the master 203 who will come to share their experiences.
ECTS : 3
Description du contenu de l'enseignement :
Course Objectives:
The primary aim of this course is to provide students with a comprehensive understanding of dynamic stock models and derivative securities. We will delve into essential mathematical concepts, illuminating the fundamental techniques for pricing and hedging in both discrete and continuous time. These concepts are pivotal for prospective professionals in numerous finance sectors.
Course Breakdown:
1. Probability Theory Refresher
2. Arbitrage
3. Binomial Pricing Model
4. Dynamic Strategies in Multiple Periods
5. Continuous-Time Models and Stochastic Calculus 6. Portfolio Dynamics & Stochastic Integration
7. Black & Scholes Model
Support Class for M1-level Students:
Complementing the main course, this support class seeks to solidify the understanding and application of concepts explored in 'Derivatives Pricing and Stochastic Calculus 1'. Beginning with a concise recap of salient class content, the support course then emphasizes the real- world financial application of these principles. The structure of the main course is mirrored in this supplementary class to optimize the integration and mutual reinforcement of the two courses.
Compétence à acquérir :
Master regulation historical evolution, ethics problems in financial markets and their consequences on the recent codes of conduct, and the main compliance concepts applied in a Corporate & Investment Bank
Mode de contrôle des connaissances :
Assessment
1 mid-term exam (30%), 1 final exam (70%)
Bibliographie, lectures recommandées :
References
Shreve, S. (2005). Stochastic calculus for finance I: the binomial asset pricing model. Springer Science & Business Media.
Shreve, S. E. (2004). Stochastic calculus for finance II: Continuous-time models (Vol. 11). New York: springer.
Back, K. (2005). A course in derivative securities: Introduction to theory and computation. Berlin: Springer.
ECTS : 3
Description du contenu de l'enseignement :
Course objectives Mode de contrôle des connaissances : Participation and Final exam Bibliographie, lectures recommandées : Lewis M. , The Big Short, 2011. Flash Boys, 2014 ECTS : 3 Description du contenu de l'enseignement : The objective of this course is to give an all round comprehensive knowledge and understanding of the theory and the day-to-day use of derivatives contracts.
Conducting business in the financial sector means conducting business with highest standards of ethics and in accordance with the laws and regulations of the countries where the business is done.
The course’s objectives are
· to understand the importance of ethics and professional standards when conducting business in the financial sector;
· to get a basic knowledge of the regulation and laws;
· to understand the main compliance concepts applied in Corporate & Investment Banks
Part 1. Ethical and Professional Standards
This part offers a pragmatic approach of ethics in finance, pointing out some of the recent issues that emerged since the financial crisis.
The course takes as a starting point some of the recent codes of conduct issued by the finance industry as well as CFA Institute® Code of Ethics and Standards of Professional Conduct; it then turns to concrete issues such as rate-rigging, toxic assets or liabilities, product structuring, investor protection, as well as some of the recent regulation. Topics are covered through presentations in class, student presentations, exercises and case studies. Student presentations are delivered individually, in class, under a pre-set format, and are part of the participation grade. As a prerequisite, students must be familiar with CFA Institute® Code of Ethics and have prepared an example of a standard violation and corrective action for the first class.
Part 2. Global Compliance
Main objectives are giving students a global overview on the main Compliance concepts applied in a Corporate & Investment Bank and emphasizing the latest trends in regulatory environment. Theoretical courses and practical examples will be exposed to students on the main Compliance and Financial Security themes met in a Corporate & Investment Bank.
· Compliance: privileged information, information barriers, conflicts of interests, market abuse and insider trading, suitability, reputation risk, etc...
· Financial Security: KYC, KYB, and implementation of the European 3rd Directive ; embargos, countries on watch lists, combating money laundering, fraud prevention.
Course outline
Introduction Course: Regulation today - for a better understanding of Ethics and Compliance (3h)
· Evolution of regulation and where we are now
· Linkage between the directives
· Comparison EU/rest of the world
Part 1. Ethical and Professional Standards
Session 1-Course Introduction: (1h)
Why do ethics matter? How to prepare a presentation, a case study, an exercise?
Exercise on Standard violations: (Using CFA Institute® Code of Ethics and Standards of Professional Conduct) Debrief on the example prepared by each student for and before Class 1.
Session 2- What do Codes of ethics and Codes of conducts tell us? (2h)
Compare 2 different codes: what is the focus? How well do they protect clients? other stakeholders? Identify what codes teach us about business ethics, operational risks, reputation risk.
Session 3- FX rate-rigging & other benchmarks (2h)
The FX rate-rigging scandal – FX markets Codes of conduct. Importance of trust in benchmarks.
Session 4- Libor rate-rigging & other benchmarks (2h)
The Libor manipulation scandal–Libor administration before/after the scandal.
Regulation on benchmarks and indices.
O’ Malley C. : The story of the Eurobond Markets (ch. 10-11), 2015
CFA Institute® Code of Ethics and Standards of Professional Conduct
CFA Institute® Standards of Practice Handbook, 2014 editionFinancial Derivatives
This course aims at “demystifying” key derivatives products, widely used to hedge existing market risks, to speculate on the future movements of market variables or more generally to taylor the return distribution of a portfolio. Participants will learn how banks and corporate treasuries use Financial Options alike in the management of risks, for trading, hedging and arbitrage and their role in the day-to-day running of the finances of businesses.
Starting from some basic knowledge of cash equity and equity derivatives market, and based on real option trade ideas capitalizing on a “nuanced” market view, it equips the audience with the skills to price and risk manage the most common and complex options, by explaining and dissecting the risks associated with trading a derivative from a risk/return/cost perspective by means of real life examples. For each option, from vanilla to exotics and structured products, this course makes clear why there is an investor demand, explains where the risks lie and how this affects the actual pricing, shows how best to hedge them.
The class uses MS Excel Spreadsheet applications and Visual Basic extensively, involving the use of market data and Equity Market Research publications.
Course outline
I Derivatives products features overview II Capitalizing on a “nuanced” view using derivatives III Arbitraging using derivatives IV Hedging using derivatives
Compétence à acquérir :
Binomial Tree, basic stochastic calculs
Mode de contrôle des connaissances :
Grading: Homeworks (trade idea on corporates,
VBA project on options portfolio) + Final Exam
Bibliographie, lectures recommandées :
John C. Hull: Options, Futures, & Other Derivatives, Prentice Hall
Paul Wilmott: Derivatives: The Theory and Practice of Financial Engineering
Sheldon Natenberg: Option Volatility and Pricing: Advanced Trading Strategies and Techniques
Nassim Nicolas Taleb: Dynamic Hedging: Managing Vanilla and Exotic Options
ECTS : 3
Description du contenu de l'enseignement :
This course is an introduction and/or refresher course in Econometrics that focuses on techniques for estimating regression models, on problems commonly encountered in estimating such models, and on interpreting the estimates. The goal is to provide participants with the basic skills and knowledge necessary to undertake empirical research and to prepare them to the advanced course in Econometrics of Financial Markets. If Gretl will be the econometric software used in the course, it is possible to use R.
Course outline
Compétence à acquérir :
Theoretical and practical knowledge of linear regression models estimation technics. Being able to set up an econometric analysis.
Bibliographie, lectures recommandées :
ECTS : 3
Description du contenu de l'enseignement :
The course aims to offer students a broad understanding of the fixed income products, both qualitatively and quantitatively. Relative prices of assets will be studied in the context of arbitrage relationship. The course will also present the market organization as well as its culture, and main characters.
The design and implementation of ‘dealing room alike’ spreadsheets will illustrate the theories and models outlined. Particular emphasis will be given to pragmatic thinking in order for students to focus, in context, on the relevant details.
Fixed income 101: starting up with the concept of actualization
Mode de contrôle des connaissances :
80% Final written exam 20% involvement in class and workshops/homework
Bibliographie, lectures recommandées :
Technical
Fabozzi, F. J., The handbook of Fixed Income Securities, McGraw-Hill Education, 8th edition, 2012, 1840p.
Hull, J. C., Fundamentals of futures and Options Markets, Pearson, 9th edition, 2016.
Inspirational
Thorp, E. O., A man for all markets, 2017, Random House, 416p.
Zuckermann, G., The Greatest Trade Ever, 2009, Crown Business, 306p.
Lowenstein, R., When Genius failed, 2001, Random House, 291p.
Taleb, N., The Black swan: The Impact of the Highly Improbable, 2007, Random House, 436p.
ECTS : 3
Description du contenu de l'enseignement :
The aim of this module is to provide a thorough foundation of the key concepts in international finance with a focus on exchange rate economics. The module begins with an overview of the institutional characteristics of the foreign exchange market and subsequently examines the fundamental determinants of exchange-rate dynamics. By the end of the course the students will be familiar with both the theoretical models and the empirical evidence regarding exchange-rate behaviour. Emphasis will be given to the implications of these outcomes for exchange rate forecasting, international diversification and investment decisions.
Course outline
Mode de contrôle des connaissances :
Mid-term (30%) and final exam (70%).
Bibliographie, lectures recommandées :
General
Bekaert, G. and R.J. Hodrick (2009). International Financial Management. New Jersey: Pearson Education.
Sarno, L. and M.P. Taylor, (2005), The Economics of Exchange Rates, Cambridge University Press.
Specific
Week 1
ECTS : 6
Description du contenu de l'enseignement :
Students of the Master 203 (M1-level) are available for internships beginning in January. A minimum of 4 months of professional internship is required or equivalent (Summer internships are considered as equivalent).
Compétence à acquérir :
ECTS : 6
Description du contenu de l'enseignement :
The objective of this course is to acquaint students with the concepts that are key to understand the functioning of capital (mostly equity) markets.
The course is divided in five parts.
Part 1 is about the organization of trading. The structure of European Stock Exchanges has been considerably evolving over the last 20 years. These evolutions have been fostered by the progress made in information technologies and the changes in the European regulatory environment. Open-outcry markets have been progressively replaced by computer-assisted trading markets. Stocks can now be traded continuously, new trading protocols such as MTF (Multilateral Trading Facilities) and Dark Pools have emerged, real-time remote access to markets has been made possible, high frequency trading has become more prevalent (latency times are now lower than 1 millisecond) while trading costs have experienced a dramatic decline. The financial intermediation profession has been evolving too. ISD (Investment Services Directive) constitutes a major change for the European regulatory environment. The concentration of orders on a single stock exchange is no longer mandatory and former national monopolistic stock exchanges must now compete with new entrants. Euronext market share has dropped from 100% to less than 50% as stocks of major European companies can now be traded on several trading venues. To gain understanding in the recent trends that characterize the stock exchange industry it is important to understand where transaction costs (both explicit and implicit) and liquidity arise from. This will be the subject of the first part of the course with a particular focus on the evolution of the Paris stock exchange.
Part 2 covers the core concepts of return, risk and the optimization of the risk-return tradeoff through efficient portfolios. After introducing the definition of returns (discrete and continuous) and various risk measures (volatility and Value at Risk – VaR) for single assets, the course moves to the analysis of the joint behavior of assets when these are combined into portfolios. This will allow student to understand the benefits of diversification, which is a first step towards the computation of efficient portfolios through the Markowitz’s program and the determination of asset efficient frontier.
Part 3 is about how investors account for risk in their investment decisions. This part shows how to characterize risk aversion and how risk aversion is accounted for in equilibrium. This part allows to establish the expression of the CAPM (Capital Asset Pricing Model) and, after highlighting some limitations of this model, to introduce multi-factor pricing models (essentially Fama and French 3-factor model).
Part 4 analyzes how information is incorporated into prices. The erratic behavior of stock prices may cast doubt about their actual meaning. Do stock prices convey valuable information? Is there an incentive for firms to be publicly-traded? On an informationally-efficient market, the expected gain from price forecasts is equal to 0. Is it the case? Although there exist so-called market anomalies (abnormal returns), further examination of abnormal returns shows that these arise mostly as a form of compensation for hidden costs (transaction costs, information costs) and risks.
Part 5 is more practical as it illustrates how the concepts developed in parts 1 to 4 can be used by decision makers. We will focus on investment decision, financing decision and portfolio managers performance measurement.
Course outline
Introduction : The Role of Financial markets
PART I: Stock exchanges and their organization
Compétence à acquérir :
Course objectives:
Mode de contrôle des connaissances :
12 3-hour classes. Practical examples and solutions to exercises in class.
Grading: mid-term exam (50%) and final exam (50%).
Bibliographie, lectures recommandées :
Class handouts are downloadable from course webpage on MyCourse
Bodie Z., A. Kane, A. Marcus, 2014. Investments. McGraw-Hill, 10th ed.Harris, L., 2003. Trading and Exchanges: Market Microstructure for Practitioners. Oxford University Press.
Harris, L., 2003. Trading and Exchanges: Market Microstructure for Practitioners. Oxford
University Press.
Hillier D., Grinblatt M. and S. Titman, 2011. Financial Markets and Corporate Strategy. Irwin-Mc Graw Hill, 2nd European edition.
Madura, J. 2015. Financial Markets and Institutions. South Western, 11th ed.
ECTS : 24
Description du contenu de l'enseignement :
The goal is to write a Master thesis that links what you have learned during your degree, what you will learn in the books or journal articles on the subject you have chosen to write about, and what you will learn from your experience with professionals in the context of your courses and/or internship.
Compétence à acquérir :
The ILOs are to review and delineate a subject, to identify an original angle and develop an argument, to construct a relevant bibliography, to synthesize the important documents, to make use of both theoretical (studied in class) and practical knowledge (gained through your internship), and to think critically and to suggest directions for further research. And finally, to produce an interesting, well-written and synthetic document.
ECTS : 3
Description du contenu de l'enseignement :
This English as a foreign language course not only attempts to improve the students' fluency in English but also explores the attitudes and expectations of a cross-cultural American and English job interview in finance. Rather than inculcating a litany of identical and stereotypical answers to interview questions, it will focus on revealing the personality and character of the candidate. Each student hones his English story-telling skills so as to persuasively communicate the singular passion and enthusiasm that drive him and make a memorable impression on the jury.
Course outline
A pragmatic and empirical approach that gives students ample opportunity to define themselves along the following lines, using self assessments and pragmatic hands on exercices:
Compétence à acquérir :
Understanding the expectations of international recruiters, themselves and the body langage.
Mode de contrôle des connaissances :
The final exam is a presentation on a specific subject that will be given 3 weeks in advance and will measure the students' proficiency in English as well as their ability to present themselves in a professional capacity.
ECTS : 3
Description du contenu de l'enseignement :
Course objectives
The course is designed to cover a range of derivatives pricing algorithms, from the modeling techniques to practical applications using VBA in Excel.
Course outline
1. Initializing with Excel and VBA functions
Compétence à acquérir :
Master VBA programming of basic derivatives pricing models
Mode de contrôle des connaissances :
1 final exam and 1 complete assignment.
Bibliographie, lectures recommandées :
Jackson M. and M. Staunton, Advanced modelling in finance using Excel and VBA, Wiley, 2001.
ECTS : 0