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

    ECTS 4.0

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.

Responsible(s)

Jerome LELONG

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

Test

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

Calendar

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.