Financial Theory - 4MMTF4

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Number of hours
- Lectures : 33.0
- Tutorials : -
- Laboratory works : -
- Projects : -
- Internship : -
- Written tests : -
ECTS : 3.0
Officials : Ollivier TARAMASCO

Goals

The objective of this course is to present the fundments in finance theory: decision theory, utility functions,…
Fundamental concepts of market finance will also be presented: equilibrium models, arbitrage, market efficiency.

Content

Part 1:

Utility functions
1. Risk premium
The mean-variance approach
1. Efficient Frontier
2. Equilibrium models : CAPM
3. Updating in uncertain future. Risk premium.
Arbitration and pricing using arbitrage.

Prerequisites

Some basic notions in mathematics, probability and statistics.

Tests

Exam 100%

N1=E1
N2=E2

Calendar

The course exists in the following branches:

Curriculum - Financial Engineering - Semester 7

see the course schedule for 2020-2021

Additional Information

Course ID : 4MMTF4
Course language(s):

The course is attached to the following structures:

Team Finance.

You can find this course among all other courses.

Bibliography

Quittard-Pinon : Marchés des capitaux et théorie financière.
Merton : Continuous Time Finance
Briys et Viala : éléments de théorie financière.

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Date of update January 15, 2017

Version française

Voir la version française de cette page

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

Financial Theory - 4MMTF4

Number of hours

Goals

Version française