Term Structures : Commodities Interest Rates and Other Assets

Crédit : 2 ECTS
Langue du cours : anglais

Volume horaire

  • CM : 18 h

Compétences à acquérir

At the end of this course, the students must have a broad knowledge about the term structures of derivative prices: the theories, the valuation methods, the econometric techniques, the empirical tests as well as the applications.

Description du contenu de l'enseignement

Planning Course :
  • Introduction to derivative markets
  • Price relationships between spot and futures markets
  • Term structures: dynamic behaviour, theories and models
  • Applications of term structure models
  • Equilibrium models

Mode de contrôle des connaissances

One exam in the end of the course : 100%

Bibliographie, lectures recommandées

  • Danthine J.P., Donaldson J.B., Intermediate Financial Theory, 2d Ed., Elsevier, 2005.
  • Hull J., Options, futures and other derivatives, 8 th Ed., 2012.
  • Kolb R.W. , Overdahl J.A. , Futures, options, and swaps, 5th Ed., Blackwell, 2007.
  • Y. Simon et D. Lautier, Marchés dérivés de matières premières, 3ème Ed., Economica, 2006.
  • Williams J., The economic function of futures markets, Cambridge University Press, 1986
  • Wilmott P., Paul Wilmott on Quantitative Finance, 3-volume set, 2 nd Ed., Wiley, 2006.

Enseignant responsable

DELPHINE LAUTIER



Année universitaire 2016 - 2017 - Fiche modifiée le : 13-02-2017 (15H48) - Sous réserve de modification.