Code
MGFE FIN 6204
Level
M2
Field
Finance
Language
Anglais/English
ECTS Credits
2
Class hours
18
Total student load
40
Program Manager(s)
Department
- Data analytics, Économie et Finances
Educational team
Introduction to the module
Enable students to understand the various tools needed to develop hedging structures for the risks to which companies and economic actors may be exposed.
Model and evaluate (price) the price of hedging products in order to determine their fair value.
Learning objectives/Intended learning outcomes
- 2.1 - Develop a critical awareness of highly specialised knowledge, some of which is at the forefront of knowledge, with a view to formulating innovative contributions to complex issues, in line with the strategic plan of organisations and with scientific
Rubrics
A la fin de cet enseignement, les étudiants devront être capables de :
- maîtriser les principaux produits dérivés et modèles servant à leur évaluation,
- construire et élaborer des stratégies complexes de couverture.
Content : structure and schedule
I – Markets & Products:
*Markets:
*Futures markets:
*Forward & futures pricing:
*Hedging strategies using futures contracts:
*Swaps:
*How options markets work:
*Properties of stock options:
*Strategies involving options:
*Options on indices, currencies, and futures contracts:
*Exotic options:
II – Models:
*Greek letters:
*A model of stock price fluctuations:
*The Black & Scholes model:
*Volatility curves:
*Value at Risk:
*Estimating volatilities and correlations:
*Introduction to binomial trees:
*Numerical procedures:
*Advanced numerical models and methods:
*Martingales, changes of measure and currency:
III – Complex derivatives:
*Interest rate derivatives:
*Interest rate derivatives – short-term rate modelling:
* Interest rate derivatives – advanced modelling:
*Credit risk:
*Credit derivatives:
*Climate, energy and insurance derivatives:
Sustainable Development Goals
Fiche ODD n°9 - Industrie, innovation et infrastructure
This course contributes to ODD 9 by equipping students with advanced risk-management and pricing tools that make large-scale industrial and infrastructure investments viable, innovative, and resilient in the face of uncertainty.
Number of SDG's addressed among the 17
1
Learning delivery
Mixte
Pedagogical methods
Au-travers d'exercices et de mises en situation, les étudiants sont amenés à mobiliser les concepts théoriques qui ont été présentés et explicités, afin d'apporter un regard pertinent.
Evaluation and grading system and catch up exams
Une note (sur 20) sera attribuée à l'issue du cours, après une épreuve de 3 heures composée à la fois de questions de type QCM et de questions "ouvertes" permettant une expression écrite simple (quelques phrases) (60% de la note finale) .
Une note de contrôle continu (sur 20) (40% de la note finale) composée d'études de cas réalisées par groupes de 2 ou 3 personnes donnant lieu à des présentations d'environ 10 à 5 minutes sur les sujets.
La présence est obligatoire pour ce module. Les absences non justifiées entraîneront une pénalité de 20% de la note du module.
CF2: devoir sur table.
Module Policies
Professor-Student Communication
● The professor will contact the students through their school email address (IMT-BS/TSP) and the Moodle portal. No communication via personal email addresses will take place. It is the student responsibility to regularly check their IMT-BS/TSP mailbox.
● Students can communicate with the professor by emailing him/her to his institutional address. If necessary, it is possible to meet the professor in his office during office-hours or by appointment.
Students with accommodation needs
If a student has a disability that will prevent from completing the described work or require any kind of accommodation, he may inform the program director (with supporting documents) as soon as possible. Also, students are encouraged to discuss it with the professor.
Class behavior
● Out of courtesy for the professor and classmates, all mobile phones, electronic games or other devices that generate sound should be turned off during class.
● Students should avoid disruptive and disrespectful behavior such as: arriving late, leaving early, careless behavior (e.g. sleeping, reading a non-course material, using vulgar language, over-speaking, eating, drinking, etc.). A warning may be given on the first infraction of these rules. Repeated violators will be penalized and may face expulsion from the class and/or other disciplinary proceedings.
● The tolerated delay is 5 minutes. Attendance will be declared on Moodle during these 5 minutes via a QR code provided by the teacher at each course start.
● Student should arrive on time for exams and other assessments. No one will be allowed to enter the classroom once the first person has finished the exam and left the room. There is absolutely no exception to this rule. No student can continue to take an exam once the time is up. No student may leave the room during an examination unless he / she has finished and handed over all the documents.
● In the case of remote learning, the student must keep his camera on unless instructed otherwise by the professor.
Honor code
IMT-BS is committed to a policy of honesty in the academic community. Conduct that compromises this policy may result in academic and / or disciplinary sanctions. Students must refrain from cheating, lying, plagiarizing and stealing. This includes completing your own original work and giving credit to any other person whose ideas and printed materials (including those from the Internet) are paraphrased or quoted directly. Any student who violates or helps another student violate academic behavior standards will be penalized according to IMT-BS rules.
Textbook Required and Suggested Readings
J. Hull, « Options, Futures and Other Derivatives », 8th ( 9th )ed., Pearson. ou
la traduction française par Patrick Roger: J. Hull, « Options, futures et autres actifs dérivés », 8ème (9ème )éd., Pearson. Ou encore:
P. Poncet et P. Portrait « Finance de marché; Instruments de base, produits dérivés, portefeuilles et risques », 4ème éd., Dalloz.
M. Bellalah, et Y. Simon, « Options, Contrats à Terme et Gestion des Risques », Economica
Keywords
financial markets, derivatives, hedging strategy, valuation, portfolio