See also the list of assessments for the June 2020 session.
- 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.
At the end of this learning unit, the student is able to :
At the end of this course, students will be able to:
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”.
- Risk neutral valuation principle;
- Pricing of derivatives securities, by mathematical models
or by numerical methods;
- Implementation of hedging strategies using derivative securities.
Written examination (80%)
Ongoing assessment (20%)
Ongoing assessment score is definitively acquired