Ensimag Rubrique Formation 2022

Dynamic Management of Financial Risk 2 - 5MMMT

  • Number of hours

    • Lectures 18.0
    • Projects -
    • Tutorials -
    • Internship -
    • Laboratory works 7.5
    • Written tests -


    ECTS 4.0


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




  • 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

N1=(E1 + P1)/2
N2=(E2 + P2)/2

E1 : examen session 1
E2 : examen session 2
P1 : Projet
P2 : version corrigée de P1


The course exists in the following branches:

  • Curriculum - Financial Engineering - Semester 9
see the course schedule for 2023-2024

Additional Information

Course ID : 5MMMT
Course language(s): FR

The course is attached to the following structures:

You can find this course among all other courses.