Principles of continuous time finance - 5MMPFTC
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Number of hours
- Lectures : 24.0
- Tutorials : 12.0
ECTS : 2.0
Goals
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 TARAMASCO
Content Binomial model - risk neutral probability - Arrox-Debreu's prices
Ito Formula
Balck-Scholes Formula - Hedging Portfolio
Cahnge of numeraire - Exchange options - Quanto Options
Barrier Options
PrerequisitesFinance and applied mathematics courses of Ensimag 2nd Year program.
Tests Exam: 100%
N1=EXAM1
N2=EXAM2
Bibliography Hull, J. "Options, futures et autres dérivés"n Pearson Ed.
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