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