Ensimag Rubrique Formation 2022

Dynamic Management of Financial Risk 2 - 5MMMDT

  • Number of hours

    • Lectures 18.0


    ECTS 2.0


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


  • 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



Give kind of exam for session 1 and session 2: written, allowed documents or not, oral, practical work, reports, plan, vivas


Additional Information

Curriculum->Financial Engineering->Semester 9