Marché de taux

Crédit : 3 ECTS
Langue du cours : anglais

Volume horaire

  • CM : 18 h

Description du contenu de l'enseignement

Plan du cours :
  • Session 1
- Modelling Term structures of Interest Rates
- Yield Curve Estimation Techniques
- Dynamic Models of The term Structure
 
  • Session 2
- Fixed Income risks
- Relationships among bond prices, spot rates, forward rates and yield
- Specific measures of Price sensitivity tailored to financial institutions
- From Rates Duration to Rates Convexity
 
  • Session 3
- Capitalizing on a “nuanced” Fixed Income view using Fixed Income derivatives
- Specific market situations where derivatives go beyond cash
- Tailoring a derivatives strategy to a specific market situation : the “Nuanced view” approach
 
  • Session 4
- Capitalizing on a “nuanced” Fixed Income view using Fixed Income derivatives
- Practical look at derivatives features : bond futures, Swaps, caps & floors, bond options, swaptions
- From Taking a View to Relative Value Trades
 
  • Session 5
- Hedging Fixed Income using Fixed Income derivatives
- Dynamic hedging : “delta hedging” using Futures
- Static hedging : “gamma and vega hedging” using options
- Using Swaptions to hedge Callables
 
  • Session 6
- Inflation-linked derivatives
- Inflation Derivatives Market
- Inflation Modelling : a Market Model for Inflation
- Inflation Year on Year swap : the Convexity Adjustment
- Inflation Volatility : Year on Year Options and Zero Coupon Options
- How to Manage Inflation Risks
- Inflation Derivatives as a Solution

Mode de contrôle des connaissances

  • Projet
  • Examen final

Pré-requis recommandés

M1 finance, économétrie, mathématiques, grandes écoles de commerce ou d’ingénieur.

Pré-requis obligatoires

M1 et cours en finance de marché.

Enseignant responsable

AYMERIC KALIFE



Année universitaire 2017 - 2018 - Fiche modifiée le : 12-07-2017 (10H18) - Sous réserve de modification.