Différences
Ci-dessous, les différences entre deux révisions de la page.
Prochaine révision | Révision précédente | ||
en:ddefifina2022 [2022/05/05 14:32] – créée cpouet | en:ddefifina2022 [2022/07/04 15:25] (Version actuelle) – [Course metadata] cpouet | ||
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* Title in French: Finance | * Title in French: Finance | ||
* Course code: tba | * Course code: tba | ||
- | * ECTS credits: | + | * ECTS credits: |
* Type: advanced course | * Type: advanced course | ||
* Semester 9 (Fall-Winter) | * Semester 9 (Fall-Winter) | ||
Ligne 12: | Ligne 12: | ||
* Language of instruction: | * Language of instruction: | ||
* Coordinator: | * Coordinator: | ||
- | * Instructor(s): | + | * Instructor(s): |
- | * //Last update | + | * //Last update |
==== Brief description ==== | ==== Brief description ==== | ||
Ligne 19: | Ligne 19: | ||
This course unit is divided into four parts: | This course unit is divided into four parts: | ||
- | * ** Portfolio management ** (tba hours) taught by Grégoire Hug. | + | * ** Portfolio management ** (24 hours) taught by Grégoire Hug. |
- | * ** Credit | + | * ** |
- | * **Applied finance ** (tba hours) taught by Julien Belon and Vincent Bonnamy: this part is about the theoretical aspects of corporate and market finance applied in real life. | + | * **Applied finance ** (24 hours) taught by Julien Belon and Vincent Bonnamy: this part is about the theoretical aspects of corporate and market finance applied in real life. |
- | * **Data Project: ** (tba hours) taught by tba. | + | * **Data Project: |
==== Learning outcomes ==== | ==== Learning outcomes ==== | ||
Ligne 48: | Ligne 48: | ||
- Project: Portfolio construction | - Project: Portfolio construction | ||
- | === Credit | + | === |
- Introduction: | - Introduction: | ||
- Modeling defaults: structural models and ratings | - Modeling defaults: structural models and ratings | ||
Ligne 68: | Ligne 68: | ||
* Sensitivity of options: the greeks | * Sensitivity of options: the greeks | ||
* Volatility and stress tests | * Volatility and stress tests | ||
+ | === Data Project: data sources and preprocessing === | ||
+ | Tba | ||
==== Bibliography ==== | ==== Bibliography ==== | ||
- | Check the availability of the books below at [[https:// | + | You can check the availability of the books below at [[https:// |
- Portfolio management | - Portfolio management | ||
* Roland Portait, Patrice Poncet (2014). Market Finance. | * Roland Portait, Patrice Poncet (2014). Market Finance. | ||
* Franck J. Fabozzi (2012). The Handbook of Fixed Income Securities. | * Franck J. Fabozzi (2012). The Handbook of Fixed Income Securities. | ||
- | - Credit | + | - |
* Gourieroux C. and Tiomo, A. (2007) Risque de crédit : une approche avancée, Economica. | * Gourieroux C. and Tiomo, A. (2007) Risque de crédit : une approche avancée, Economica. | ||
* Merton R. (1998) Continuous time finance, Blackwell Publishers. | * Merton R. (1998) Continuous time finance, Blackwell Publishers. |