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
- Arbitrage between currencies
- Modeling the FX rate
- Understanding the FX rate as a change of numeraire
- Hedging portfolio
- Interest rate models
- Modeling the spot rate curve
- A few spot rate models : Merton, Vasicek, affines models, Cox Ingersoll Ross
- Options on zero-coupon bonds
- Modeling the forward rate : Heath Jarrow Morton's approach
- 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
Additional Information
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.