ECTS : 6
Description du contenu de l'enseignement :
- Introduction to derivative markets and derivative instruments
- The characteristics and the valuation of futures and forward contracts
- Risk management with futures
- The characteristics and the valuation of option contracts
- Swaps and OTC instruments
- Interest rate risk: definition and management with futures contracts
- Credit risk: definition and management with derivative instruments
Compétence à acquérir :
- Understanding, on the basis of concrete examples (commodities, interest rates, equities, ...), the functioning of derivatives markets and their organization (OTC markets / organized markets).
- Explain the use of the main derivative instruments such as futures, options and swaps.
- Master the basics of the evaluation of these instruments.
Mode de contrôle des connaissances :
Mid-term exam : 50%
Final exam: 50%
Bibliographie, lectures recommandées :
- Hull J.C, Options, futures and other derivatives
- Hull J.C, Options, futures and other derivatives : solutions manual
- The handout associated to the course.