Course title: Financial products and introduction to pricing
Teacher: N. Gaussel
UE 1
18 hours (2.5 ECTS) Evaluation:
Presentation:
The goal of the course “ Introduction to Finance ” is to present the fundamental tools that are used in Market Finance to value portfolios and investments. These notions are applied in a very wide range of contexts, as for example in Trading, Market Risk, Counterparty Credit Risk, Model validation, Asset Liability Management, Portfolio Management, etc.
Teacher: N. Gaussel
UE 1
18 hours (2.5 ECTS) Evaluation:
Presentation:
The goal of the course “ Introduction to Finance ” is to present the fundamental tools that are used in Market Finance to value portfolios and investments. These notions are applied in a very wide range of contexts, as for example in Trading, Market Risk, Counterparty Credit Risk, Model validation, Asset Liability Management, Portfolio Management, etc.
- We’ll start with the concept of Future and Present values of cash-flows known for sure to compare investments and see which ones are preferable, define interest rates and yields, which are shortcuts (sometimes misleading), used historically and still commonly used.
- We’ll then talk about standard financial products and how to price them:
- Bonds, clean and dirty prices, yields to maturity, duration and convexity and their appli- cation to hedges
- Swaps, which will also make an introduction to the standard modeling framework in Finance
- Modeling
- A rather qualitative introduction to Ito processes, why we use them in Financial modeling a quick summary of stochastic calculus as commonly used in Finance
- We’ll apply these stochastic notions to the pricing of derivative products (Swaps, Euro- pean calls and puts) and how to hedge them theoretically and talk about the notion of smile of volatility
- Some other standard derivatives will also be introduced
This course is also meant to put you in position to answer to standard questions when looking for an internship.
