This unit provides an overview of financial markets: organization, products...
After completing this unit, students should be able to 1) understand the mechanics of financial markets and derivative products such as forward and future contracts, options and swaps; 2) understand how to use such contracts to hedge portfolio risk; and 3) examine market prices to determine wether arbitrage bounds are violated.
Financial markets organization: Nyse-Euronext example
Forward and Futures contracts : STIR products such as Forward-Forward transactions, FRAs, 3-month Euribor Futures contracts; Fixed-income Futures contracts; Index and individual share Futures contracts.
Options contracts: basics of option contracts, static and dynamic strategies
Swaps: organization, strategies and valuation
Final Exam (3 hours): 100 %
with documents and calculators (no computer allowed)
Hull J. - Options, futures, et autres actifs dérivés. – Pearson Ed., 8ème édition, 2011
L. Gitman & M. Joehnk – Fundamentals of investing – Pearson Ed, 9ème édition, 2005
Fabozzi F.J., E.H. Neave and G. Zhou - Financial Economics - Wiley, 2012