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Informatique et Mathématiques appliquées
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> Formation > Cursus ingénieur

Financial markets - 4MMMF6

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  • Number of hours

    • Lectures : 33.0
    ECTS : 3.0

Goals

This unit provides an overview of financial markets: organization, products...
After completing this unit, students should be able to 1) understand the mechanics of financial markets and derivative products such as forward and future contracts, options and swaps; 2) understand how to use such contracts to hedge portfolio risk; and 3) examine market prices to determine wether arbitrage bounds are violated.

Contact Philippe PROTIN

Content

Financial markets organization: Nyse-Euronext example
Forward and Futures contracts : STIR products such as Forward-Forward transactions, FRAs, 3-month Euribor Futures contracts; Fixed-income Futures contracts; Index and individual share Futures contracts.
Options contracts: basics of option contracts, static and dynamic strategies
Swaps: organization, strategies and valuation



Prerequisites

None.

Tests

Grading is only based on an open book final exam (3 hours) with calculators (no computer).



N1=E1
N2=E2

Additional Information

Curriculum->Financial Engineering->Semester 8

Bibliography

Hull J. - Options, futures, et autres actifs dérivés. – Pearson Ed., 8ème édition, 2011
L. Gitman & M. Joehnk – Fundamentals of investing – Pearson Ed, 9ème édition, 2005
Fabozzi F.J., E.H. Neave and G. Zhou - Financial Economics - Wiley, 2012

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Date of update January 15, 2017

Grenoble INP Institut d'ingénierie Univ. Grenoble Alpes