Dynamic Management of Financial Risk 2 - WMMFTMP3

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Number of hours
- Lectures : 18.0
- Tutorials : -
- Laboratory works : -
- Projects : -
- Internship : -
- Written tests : -
ECTS : 2.0
Officials : -

Goals

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

Content

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

Tests

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

N1=E1
N2=E2

Calendar

The course exists in the following branches:

Curriculum - Financial Engineering - Semester 9

see the course schedule for 2020-2021

Additional Information

Course ID : WMMFTMP3
Course language(s):

The course is attached to the following structures:

Team Finance.
Team Probability-Statistics

You can find this course among all other courses.

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Date of update June 30, 2020

École nationale supérieure d'informatique et de mathématiques appliquées
681, rue de la passerelle - Domaine universitaire - BP 72
38402 SAINT MARTIN D'HERES

Dynamic Management of Financial Risk 2 - WMMFTMP3

Number of hours

Goals