Coursebooks 2017-2018

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Derivatives

FIN-404

Lecturer(s) :

Hugonnier Julien

Language:

English

Summary

The objective of this course is to provide a detailed coverage of the standard models for the valuation and hedging of derivatives products such as European options, American options, forward contracts, futures contract and exotic options.

Content

Part I: Discrete-time models

Part II: Continuous-time models

 

Keywords

Derivatives, options, arbitrage valuation, hedging

Learning Prerequisites

Required courses

Recommended courses

Important concepts to start the course

To follow this course students need to have taken an introduction to finance, and must possess solid foundations in probability theory and stochastic calculus.

Learning Outcomes

By the end of the course, the student must be able to:

Transversal skills

Teaching methods

Lectures and exercise sessions

Expected student activities

Assessment methods

Supervision

Office hours Yes
Assistants Yes
Forum Yes

Resources

Bibliography

Ressources en bibliothèque
Moodle Link

Prerequisite for

 

In the programs

Reference week

 MoTuWeThFr
8-9     
9-10     
10-11     
11-12     
12-13     
13-14     
14-15     
15-16     
16-17     
17-18     
18-19     
19-20     
20-21     
21-22     
Under construction
 
      Lecture
      Exercise, TP
      Project, other

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  • Autumn semester
  • Winter sessions
  • Spring semester
  • Summer sessions
  • Lecture in French
  • Lecture in English
  • Lecture in German