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