Derivative Securities

MLSMM2121  2019-2020  Mons

Derivative Securities
5.0 credits
30.0 h
1q

Teacher(s)
Language
Français
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 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)

Program title
Sigle
Credits
Prerequisites
Aims
Master [120] : Business Engineering
5
-

Master [120] : Business Engineering
5
-

Master [120] in Management
5
-

Master [120] in Management
5
-

Master [60] in Management
5
-

Master [120] in Business Management
5
-