Produits dérivés exotiques

Crédit : 3 ECTS
Langue du cours : anglais

Volume horaire

  • CM : 15 h

Compétences à acquérir

The objective of the course is to give an all around comprehensive general knowledge and understanding of the theory and the day-to-day use of Exotic Options. Participants will learn how banks and corporate treasuries use Financial Options alike in the management of risks, for trading, hedging and arbitrage and their role in the day-to-day running of the finances of businesses.

Description du contenu de l'enseignement

Planning course :
  • Capitalizing on a “nuanced” Equity view using Equity derivatives
- Specific market situations where derivatives go beyond cash
- Tailoring a derivatives strategy to a specific market situation : the “Nuance view” approach
- Practical look at derivatives features
 
  • Arbitraging Equities using Equity derivatives : pricing issues
- Asymmetry between market rise and fall : “the skew”
- Short-term crash fears : jumps and “fat tails” - Long-term uncertainty : volatility term structure
 
  • Hedging Equities using Equity derivatives
- Dynamic hedging : “delta hedging” using Futures
- Static hedging : “gamma and vega hedging” using options
- Why Exotic options? Key trade examples. Which pricing model for which options?
 
  • Capitalizing on a risk/return/cost Equity profile using Equity Structured products and hybrids
- Protecting against downside exposure
- Boosting returns, hybrid risks

Mode de contrôle des connaissances

  • Projet
  • Examen final

Pré-requis recommandés

M1 finance, économétrie, mathématiques, grandes écoles de commere ou d'ingénieur.

Pré-requis obligatoires

M1 et cours en finance de marché.

Enseignant responsable

AYMERIC KALIFE



Année universitaire 2016 - 2017 - Fiche modifiée le : 12-07-2017 (10H18) - Sous réserve de modification.