=====Course unit: Financial mathematics=====

  * Title in French: Mathématiques financières 
  * Course code: tba
  * ECTS credits: 2
  * Teaching hours: 50h
  * Type: specialized course
  * Language of instruction: English
  * Coordinator: Christophe Pouet
  * Instructor(s): Ismail Akil (JP Morgan) , Philippe Bertrand, Abderrahim Ben Jazia (RSM France)

**Brief description**

This course is a specialized course for anyone interested in mathematical finance. The main topics are advanced derivatives pricing, interest rate models, numerical methods in finance and portfolio management with structured products. 

**Learning outcomes**

  * Discover more complex financial models (interest rate models, models with stochastic volality,...)
  * Know how to use numerical methods to price financial product

**Course content**

__//Advanced mathematical finance//__
  - Local volatility models (Dupire, CEV)
  - Stochastic volatility models (Heston, SABR)
  - Interest rate models (Vasicek, Hull&White, Cox-Ingersoll-Ross)
  - Princing with Matlab

__//Advanced portfolio management//__
  - The principles of portfolio insurance
  - Three basic methods (Stop-loss, CPPI, OBPI)
  - Dynamic management and simulations

**Bibliography**
  * Bertrand, P. et Prigent, J.-L., "Gestion de portefeuille : analyse quantitative et gestion structurée" , Economica, 2006.
  * Lamberton, D. and B. Lapeyre, "Introduction to Stochastic Calculus Applied to Finance", 2nd ed., Chapman and Hall/CRC, 2007