Number of hours
- Lectures 24.0
- Projects -
- Tutorials -
- Internship -
- Laboratory works -
- Written tests -
ECTS
ECTS 2.0
Goal(s)
The objective of this course is to present tools and techniques to evaluate financial assets and to hedgie risks. In this course, we will simply present the rules of calculation and we will focus on economic and financial reasoning.
Responsible(s)
Ollivier TARAMASCO
Content(s)
Binomial model - risk neutral probability - Arrow-Debreu's prices
Ito Formula
Balck-Scholes Formula - Hedging Portfolio
Change of numeraire - Exchange options - Quanto Options
Barrier Options
Finance and applied mathematics courses of Ensimag 2nd Year program.
Test
Evaluation : Examen Ecrit (2h00)
Resit : Examen écrit + examen oral (2h00)
NORMAL SESSION:
Type of exam: written exam 100%
Duration: 2 hours
Authorized documents: handwritten course notes.
Prohibited documents: any document other than handwritten course notes.
Material:
- authorized equipment: calculator
- equipment prohibited: any equipment other than the calculator
SECOND SESSION :
Type of exam: written or oral exam 100% Duration: oral exam duration 30 mn + 30mn preparation
Authorized documents: handwritten course notes
Prohibited documents: any document other than the handwritten course notes
Material:
- authorized equipment: calculator
- equipment prohibited: any equipment other than the calculator
Comments:
Calendar
The course exists in the following branches:
- Curriculum - Financial Engineering - Semester 9
Additional Information
Course ID : 5MMPFTC
Course language(s): 
You can find this course among all other courses.
Bibliography
Hull, J. "Options, futures et autres dérivés"n Pearson Ed.