- 4MMTF

Goal(s)

The objective of this course is to introduce the fundamentals of financial theory: decision theory under uncertainty, risk aversion, utility functions, and more.
The course will also cover fundamental concepts in market finance: equilibrium models, market efficiency, arbitrage, and pricing arbitrage.

Responsible(s)

Ollivier TARAMASCO

Content(s)

Contents

• Utility functions. Risk aversion
• The mean-variance approach, Efficient frontier, Equilibrium model: CAPM
• Discounting under uncertainty. Risk premiums.
• Arbitrage and arbitrage pricing..
• Valuation and hedging in binomial tree models.

Some basic concepts in mathematics, probability, and statistics.

Test

Evaluation : 50% of Participation et assiduité and 50% of Examen écrit (3 heures)

Resit : Examen écrit (2 heures)

Session 1:
The CC1 grade consists of an attendance grade (which will take into account the number of absences and excessive tardiness) and a grade for assignments completed and turned in during class sessions.

Calendar

The course exists in the following branches:

• Curriculum - Core curriculum - Semester 7

Additional Information

Course ID : 4MMTF
Course language(s):

You can find this course among all other courses.

Bibliography

Quittard-Pinon : Marchés des capitaux et théorie financière.
Merton : Continuous Time Finance
Briys et Viala : éléments de théorie financière.