Objectives
The objective of this course is to provide a summary of the knowledge needed to practice capital markets and derivatives finance. This module will also facilitate the follow up of some IM financial options in the 3rd year and of the Master SAFIR (Actuarial and Financial Sciences and Risk Engineering). The course will develop the basics of asset and derivative valuation and management.
Keywords
asset valuation, portfolio management, financial derivatives.
Programme
Part I: Introduction to Capital Market Finance o Chap. 1 : The Value of Time o Chap. 2 : The Money Market o Chap. 3 : Bonds o Chap. 4 : Equities o Chap. 5 : Derivatives o Chap. 6 : Ethics in Finance, Virtuous Funds, "Vice" Funds
Part II : Managing Equity-Bond Portfolios o Chap 1 : Returns on securities o Chap 2 : Decision theory o Chap 3 : The Markowitz mean-variance model o Chap 4: The Fama and French index model
Part III: Derivatives management o Chap. 1: The binary model (replication portfolio, risk neutral measure) o Chap. 2: The binomial model for European options, towards the Black and Scholes model o Chap. 3: The Binomial Model for American Options
Learning Outcomes
- Methodological skills for finance professionals.
Assesment
- A one-hour written intermediate exam (during class time) halfway through the course.
- Final written examination of two hours in the form of exercises.
- Participation bonus
Final grade = ( Intermediate exam grade + 2 * Final exam grade ) / 3 + bonus