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en:mafi [2016/06/06 17:52] – ↷ Nom de la page changé de en:finmath à en:mafi rbourles | en:mafi [2019/01/10 17:11] (Version actuelle) – cpouet | ||
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+ | =====Course unit: Financial mathematics===== | ||
+ | * Title in French: Mathématiques financières | ||
+ | * Course code: tba | ||
+ | * ECTS credits: 2 | ||
+ | * Teaching hours: 50h | ||
+ | * Type: specialized course | ||
+ | * Language of instruction: | ||
+ | * Coordinator: | ||
+ | * Instructor(s): | ||
+ | |||
+ | **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** | ||
+ | |||
+ | __// | ||
+ | - Local volatility models (Dupire, CEV) | ||
+ | - Stochastic volatility models (Heston, SABR) | ||
+ | - Interest rate models (Vasicek, Hull& | ||
+ | - Princing with Matlab | ||
+ | |||
+ | __// | ||
+ | - The principles of portfolio insurance | ||
+ | - Three basic methods (Stop-loss, CPPI, OBPI) | ||
+ | - Dynamic management and simulations | ||
+ | |||
+ | **Bibliography** | ||
+ | * Bertrand, P. et Prigent, J.-L., " | ||
+ | * Lamberton, D. and B. Lapeyre, " |