Dynamic Management of Financial Risk 2 - 5MMMDT
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Goals
This course splits in two parts. The first part is concerned with FX markets and the second part is devoted to interest rate models.
Contact Jérôme LELONG
Content - Foreign exchange markets
- Arbitrage between currencies
- Modeling the FX rate
- Understanding the FX rate as a change of numeraire
- Hedging portfolio
- Interest rate models
- Modeling the spot rate curve
- A few spot rate models : Merton, Vasicek, affines models, Cox Ingersoll Ross
- Options on zero-coupon bonds
- Modeling the forward rate : Heath Jarrow Morton's approach
- Forward measure
Prerequisites
Tests Give kind of exam for session 1 and session 2: written, allowed documents or not, oral, practical work, reports, plan, vivas
N1=E1
N2=E2
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Date of update January 15, 2017