Dynamic Management of Financial Risk 2 - 5MMMT

• 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

Course ID : 5MMMT
Course language(s):

The course is attached to the following structures:

• Team Probability-Statistics
• Team Finance.

You can find this course among all other courses.