Number of hours
- Lectures 18.0
- Projects -
- Tutorials -
- Internship -
- Laboratory works -
- Written tests -
ECTS
ECTS 2.0
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)
-
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
N2=E2
Calendar
The course exists in the following branches:
- Curriculum - Financial Engineering - Semester 9
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.