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The objetive of this course is to present the tools and technics used to price financial instruments. In this course we focus on economic and financial reasoning.
Contact Ollivier TARAMASCOBinomial model - risk neutral probability - Arrox-Debreu's prices
Ito Formula
Balck-Scholes Formula - Hedging Portfolio
Cahnge of numeraire - Exchange options - Quanto Options
Barrier Options
Finance and applied mathematics courses of Ensimag 2nd Year program.
Exam: 100%
N1=EXAM1
N2=EXAM2
Hull, J. "Options, futures et autres dérivés"n Pearson Ed.
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