Market Finance

The objective of this course is to provide a summary of the knowledge needed to practice capital markets and derivatives finance. This module will also facilitate the follow up of some IM financial options in the 3rd year and of the Master SAFIR (Actuarial and Financial Sciences and Risk Engineering). The course will develop the basics of asset and derivative valuation and management.

Part I: Introduction to Capital Market Finance

• Chap. 1 : The Value of Time
• Chap. 2 : The Money Market
• Chap. 3 : Bonds
• Chap. 4 : Equities
• Chap. 5 : Derivatives
• Chap. 6 : Ethics in Finance, Virtuous Funds, "Vice" Funds

Part II: Managing Equity-Bond Portfolios

• Chap 1 : Returns on securities
• Chap 2 : Decision theory
• Chap 3 : The Markowitz mean-variance model
• Chap 4: The Fama and French index model

Part III: Derivatives management

• Chap. 1: The binary model (replication portfolio, risk neutral measure)
• Chap. 2: The binomial model for European options, towards the Black and Scholes model
• Chap. 3: The Binomial Model for American Options