Term structures : theory, models and empirical tests

Ects : 6
Coefficient : 1
Compétence à acquérir :
This course in a introduction to the methodology of the research through the prism of prices curves. It presents the theories, their empirical implications, the methodological issues associated with empirical tests, and empirical tests. The course is centered on commodities, with generalization to other assets (more specifically, interest rates).

Description du contenu de l'enseignement :
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.