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
Exam: 100%
N1=EXAM1
N2=EXAM2
EXAM1 : examen écrit de 2h
EXAM2 : examen oral 1/2h
Calendar
The course exists in the following branches:
- Curriculum - Financial Engineering - Semester 9
- Curriculum - Financial Engineering - Semester 9
Additional Information
Course ID : WMMF9M13
Course language(s): 
The course is attached to the following structures:
- Team Finance.
You can find this course among all other courses.
Bibliography
Hull, J. "Options, futures et autres dérivés"n Pearson Ed.