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Informatique et Mathématiques appliquées
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> Formation > Cursus ingénieur

Financial markets - 4MMMF6

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  • Number of hours

    • Lectures : 33.0
    • Tutorials : -
    • Laboratory works : -
    • Projects : -
    • Internship : -
    • Written tests : -
    ECTS : 3.0
  • Officials : Philippe PROTIN

Goals

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.

Content

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

Prerequisites

None.

Tests

Grading is only based on an open book final exam (3 hours) with calculators (no computer).

N1=E1
N2=E2

Calendar

The course exists in the following branches:

  • Curriculum - Financial Engineering - Semester 8
see the course schedule for 2020-2021

Additional Information

Course ID : 4MMMF6
Course language(s): FR

The course is attached to the following structures:

You can find this course among all other courses.

Bibliography

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

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Date of update January 15, 2017

Université Grenoble Alpes