Dynamic Management of Financial Risk 2 - 5MMMDT

Goal(s)

This course splits in two parts. The first part is concerned with FX markets and the second part is devoted to interest rate models.

Content(s)

• Foreign exchange markets
  1. Arbitrage between currencies
  2. Modeling the FX rate
  3. Understanding the FX rate as a change of numeraire
  4. Hedging portfolio

• Interest rate models
  1. Modeling the spot rate curve
  2. A few spot rate models : Merton, Vasicek, affines models, Cox Ingersoll Ross
  3. Options on zero-coupon bonds
  4. Modeling the forward rate : Heath Jarrow Morton's approach
  5. Forward measure