Derivative Securities

mlsmm2121  2019-2020  Mons

Derivative Securities
In view of the health context linked to the spread of the coronavirus, the methods of organisation and evaluation of the learning units could be adapted in different situations; these possible new methods have been - or will be - communicated by the teachers to the students.
See also the list of assessments for the June 2020 session.
5 credits
30.0 h
Q1
Teacher(s)
Language
French
Prerequisites
MGEST1219 FINANCE
Main themes
This course provides students with a framework :
- to understand the fundamental concepts of derivative
products (forward and futures, swaps, options);
- to develop the necessary skills used in valuing derivative
contracts (Ito's process, risk neutral valuation);
- to understand a wide variety of issues related to risk
management and investment decisions using derivatives.
Aims

At the end of this learning unit, the student is able to :

1

 

At the end of this course, students will be able to:
- Describe and interpret the general features of basic
types of derivative securities, such as forward and futures
contracts, swaps, options, and basic structured products.
- Apply the No Arbitrage Principle to price derivatives in
an efficient financial market.
- Price derivative securities using mathematical models
and numerical methods.
- Design optimal strategies to use derivative instruments
for financial risk management and for financial engineering.

 

 

The contribution of this Teaching Unit to the development and command of the skills and learning outcomes of the programme(s) can be accessed at the end of this sheet, in the section entitled “Programmes/courses offering this Teaching Unit”.
Content
- Features of derivatives securities, such as forward contracts, futures, swaps
and options;
- Risk neutral valuation principle;
- Pricing of derivatives securities, by mathematical models
or by numerical methods;
- Implementation of hedging strategies using derivative securities.
Teaching methods
Lectures, flipped classroom, exercises and case studies
Evaluation methods
  • Written examination (80%)
  • Ongoing assessment (20%)
  • Ongoing assessment score is definitively acquired
Online resources
Student corner
Bibliography
Hull, Options, Futures, and Other Derivatives (10th Edition), Pearson, 2017
Faculty or entity


Programmes / formations proposant cette unité d'enseignement (UE)

Title of the programme
Sigle
Credits
Prerequisites
Aims
Master [120] : Business Engineering
5

Master [120] : Business Engineering
5

Master [60] in Management

Master [120] in Management
5

Master [120] in Management
5