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Informatique et Mathématiques appliquées
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> Formation > Cursus ingénieur

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): FR

The course is attached to the following structures:

You can find this course among all other courses.

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Date of update June 30, 2020

Université Grenoble Alpes