Derivative Securities

mlsmm2121  2022-2023  Mons

Derivative Securities
5.00 credits
30.0 h
Q1
Teacher(s)
Platten Isabelle;
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.
Learning outcomes

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.
 
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 (open questions)
Online resources
Student corner
Bibliography
Hull, Options, Futures, and Other Derivatives (10th Edition), Pearson, 2017
Faculty or entity
CLSM


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

Title of the programme
Sigle
Credits
Prerequisites
Learning outcomes
Master [120] in Management
GESM2M
5
Master [60] in Management
GESM2M1
5
Master [120] in Business Management
GENT2M
5
Master [120] : Business Engineering
INGE2M
5
Master [120] in Management
GEST2M
5
Master [120] : Business Engineering
INGM2M
5