Code
MGFE FIN 6204
Niveau
M2
Discipline
Finance
Langue
Anglais/English
Crédits ECTS
2
Heures programmées
18
Charge totale étudiant
40
Coordonnateur(s)
Département
- Data analytics, Économie et Finances
- Programme Grande École
Equipe pédagogique
Introduction au module
This course introduces students to derivative markets, derivative instruments and quantitative models used for pricing, hedging and risk management. It covers futures, forwards, swaps, options, exotic options, volatility, Value at Risk, numerical methods and advanced modelling approaches. The course also addresses complex derivatives, including interest rate derivatives, credit derivatives, climate derivatives, energy derivatives and insurance derivatives.
Finalité d'apprentissage (Bloc de compétences)
- 6. Concevoir et/ou piloter des solutions de gestion innovantes en veillant à garantir une création de valeur soutenable pour toutes les parties prenantes
Objectifs d'apprentissage
- 6.4 - Auditer les risques associés en mobilisant les outils d'analyse stratégique et de prise de décision, en identifiant et évaluant les faiblesses / risques associés aux outils employés, afin de recommander des solutions de gestion pérennes.
Traits de compétences
By the end of this [PGE level to be confirmed] course, students will be able to:
1. Describe the structure and functioning of derivative markets, including futures, forwards, swaps and options markets.
2. Analyse the pricing mechanisms of forward and futures contracts and apply them to financial decision-making and hedging situations.
3. Design and evaluate hedging strategies using futures, swaps and options in order to manage financial risk exposure.
4. Apply option pricing principles, including the Black-Scholes model, Greek letters and volatility curves, to assess option value and risk sensitivity.
5. Calculate and interpret risk measures, including Value at Risk, volatility and correlation estimates, in order to assess market risk.
6. Apply numerical methods, including binomial trees and other numerical procedures, to price derivative instruments.
7. Analyse complex derivative products, including interest rate derivatives, credit derivatives, climate derivatives, energy derivatives and insurance derivatives.
8. Evaluate the assumptions, limitations and risks of derivative pricing models and quantitative methods in practical financial contexts.
Contenu : structure du module et agenda
1. Markets and Products
1.1 Financial markets
1.2 Futures markets
1.3 Determination of forward and futures prices
1.4 Hedging strategies using futures contracts
1.5 Swaps
1.6 Functioning of options markets
1.7 Properties of stock options
1.8 Strategies involving options
1.9 Options on indices, currencies and futures contracts
1.10 Exotic options
2. Models
2.1 Greek letters
2.2 A model of stock price fluctuations
2.3 The Black-Scholes model
2.4 Volatility curves
2.5 Value at Risk
2.6 Estimation of volatilities and correlations
2.7 Introduction to binomial trees
2.8 Numerical procedures
2.9 Advanced models and numerical methods
2.10 Martingales, changes of measure and changes of numéraire
3. Complex Derivatives
3.1 Interest rate derivatives
3.2 Interest rate derivatives: short-rate modelling
3.3 Interest rate derivatives: advanced modelling
3.4 Credit risk
3.5 Credit derivatives
3.6 Climate, energy and insurance derivatives
Contribution à l'atteinte des ODD (Objets du Développement Durable)
SDG 13 – Climate Action: This course contributes to SDG 13 by introducing students to climate, energy and insurance derivatives, which can be used to analyse, transfer and manage risks associated with climate and environmental uncertainty.
Nombre d'ODD abordés parmi les 17
1
Apprentissage
Asynchrone
Méthode pédagogique
The course combines lectures, guided exercises, case studies and problem-solving sessions. Lectures introduce the structure of derivative markets, the main derivative instruments and the quantitative models used for pricing and risk management. Guided exercises and problem-solving sessions help students apply pricing, hedging and risk measurement techniques. Case studies connect derivative instruments and quantitative methods to practical financial, risk management and market situations.
Système de notation et modalités de rattrapage
Attendance is mandatory for this course.
The assessment evaluates students’ ability to apply derivative pricing models, hedging strategies and quantitative risk management methods to structured financial problems and case-based situations. It measures their capacity to analyse derivative products, use appropriate models, interpret risk indicators and explain the assumptions and limitations of quantitative methods.
The final grade consists of:
• Final written exam: 60% of the final grade, 3 hours. The exam includes both multiple-choice questions and open-ended questions requiring short written answers.
• Continuous assessment: 40% of the final grade. It consists of case studies completed in groups of 2 or 3 students, followed by oral presentations of approximately 10 to 15 minutes.
Unjustified absences will result in a penalty equal to 20% of the module grade.
The second-chance assessment, CF2, consists of a written in-class exam.
Règlement du module
1. Professor–Student Communication
The professor will communicate with students through their institutional school email address (IMT-BS/TSP) and/or the Moodle portal. No communication will be sent to personal email addresses. Students are responsible for regularly checking their IMT-BS/TSP mailbox and Moodle announcements.
Students may contact the professor by email using the professor’s institutional email address. When necessary, students may meet the professor during office hours or by appointment.
2. Students with Accommodation Needs
Students who have a disability or any specific accommodation need that may affect their ability to complete the required work must inform the professor during the first class, in order to facilitate the necessary arrangements in accordance with the school’s applicable procedures.
3. Class Attendance and Behaviour
Students are expected to attend class, arrive on time and behave respectfully throughout the session.
Unless explicitly authorised by the professor, the use of electronic devices, including computers, mobile phones and tablets, is prohibited during class. Students are not allowed to take photos, videos or audio recordings in the classroom without the professor’s explicit consent.
Students must avoid disruptive or disrespectful behaviour, including arriving late, leaving early, sleeping, reading non-course material, using inappropriate language, speaking over others, eating or drinking during class, or engaging in any behaviour that disturbs the class. A warning may be given for a first violation. Repeated violations may lead to penalties, exclusion from the class and/or disciplinary proceedings.
A delay of up to 10 minutes is tolerated at the beginning of class. Attendance will be recorded on Edusign during this 10-minute period using a QR code provided by the professor at the start of each session.
Leaving the classroom before the end of the session without the professor’s approval will be considered an absence.
In the case of remote learning, students must keep their camera on unless instructed otherwise by the professor.
4. Exams and Assessments
Students must arrive on time for exams and other assessments. A delay of up to 10 minutes is tolerated.
No student may continue the exam once the allocated time is over. No student may leave the room during an examination unless they have finished the exam and handed in all required documents.
Only the following items are allowed during exams:
• pens;
• student card;
• a non-programmable calculator, or a programmable calculator with activated EXAM mode.
All other items are prohibited.
Possession of any unauthorised electronic device, even if turned off, will be considered cheating.
Possession of a programmable calculator without activated EXAM mode, even if turned off, will be considered cheating.
A random check may be carried out after students are instructed to activate EXAM mode. Failure to prove that EXAM mode has been activated after this instruction will be considered cheating.
Students are responsible for knowing how to activate EXAM mode on their calculator before the exam.
Any violation of the instructions given by the professor or the examination supervision team will be reported to the Discipline Committee.
Références obligatoires et lectures suggérées
1. Hull, J. C., Options, Futures, and Other Derivatives.
2. McDonald, R. L., Derivatives Markets.
3. Wilmott, P., Paul Wilmott Introduces Quantitative Finance.
4. Joshi, M. S., The Concepts and Practice of Mathematical Finance.
5. Jorion, P., Value at Risk: The New Benchmark for Managing Financial Risk.
6. Glasserman, P., Monte Carlo Methods in Financial Engineering.
7. Shreve, S. E., Stochastic Calculus for Finance II: Continuous-Time Models.
8. CFA Institute, Derivatives.
Mots-clés
Derivatives; futures; forwards; swaps; options; exotic options; hedging; Black-Scholes model; Greeks; volatility; Value at Risk; binomial trees; numerical methods; martingales; interest rate derivatives; credit derivatives; climate derivatives; energy derivatives; insurance derivatives.
Prérequis
ACC 3403 EN (equivalent ACC 3003 FR), FIN3409 EN (equivalent FIN 3009 FR), INF 3403 EN (equivalent INF 3003 FR), LinkedIn Learning - Statistics Foundations 1 and 2