Financial Markets - 203 - 2ème année de master

Ects : 3
Compétence à acquérir :
Master regulation historical evolution, ethics problems in financial markets and their consequences on the recent codes of conduct, and the main compliance concepts applied in a Corporate& Investment Bank

Description du contenu de l'enseignement :
Regulation today, Ethics, Codes of Ethics ad coes of conducts, welknown financial markets problems analysis, compliance in corporate an investment banks todays
Understand the importance of regulation, the basis, the importance of ethics , compliance and professional standards when conducting business in the financial sector.

Enseignant responsable :

• CLAIRE PORZIO

Ects : 3
Compétence à acquérir :
Assessing Company Financial Health,
Being able to value quickly a company,
Being able to evaluate large long term projects,
Appreciate the capital structure of a firm

Description du contenu de l'enseignement :
Financial Statement Analysis, Valuation (of a company or a project), Financing Decision
Be able to evaluate and to make major corporate finance decisions. This course is an introduction to the course "Corporate Finance"

Enseignant responsable :

• TAMARA NEFEDOVA

Ects : 3
Compétence à acquérir :
Master usual transaction structures with a special focus on takeover bids and LBO transactions

Description du contenu de l'enseignement :
Mergers and Acquisitions
Give a first overview of Mergers & Acquisitions' issues and practice

Ects : 3
Compétence à acquérir :
Knowledge in structured products: how to build them (funded, or unfunded), how to hedge them and how to manage the life cycle.

Description du contenu de l'enseignement :
Exotic options, structured products
The course will recall some key elements in fixed income and derivatives to concentrate first on exotic payoffs and then structured products. We will have a review of products from each main asset class. We will learn how to build them (funded, or unfunded), how to hedge them and how to manage the life cycle.

Ects : 3
Compétence à acquérir :
Master financial en economics environement as well as the interactions between financial markets and the economy

Description du contenu de l'enseignement :
To describe the strong interactions between financial markets and the economy: from the economy towards markets and the reverse. Links between finance and economic policies, as fiscal policy, monetary policy and finance regulation.
Understand the financial and economics environment as well as the interactions between financial markets and the economy: from the economy towards markets and the reverse. Links between finance and economic policies, as fiscal policy, monetary policy and finance regulation.

Ects : 3
Compétence à acquérir :
Knowledge of the history and evolution of the energy sector and its main drivers.

Description du contenu de l'enseignement :
Economics and geopolitics in the shaping of the global energy map and their impacts
To share with students the combined, yet distinct, importance of economics and geopolitics in the shaping of the global energy map, and how these can in turn trigger long term effects globally on both society and economy as a whole.

Ects : 3
Compétence à acquérir :
Knowledge in C++ programming for finance

Description du contenu de l'enseignement :
C++ language and programming
To be both an introduction to C/C++ and a basic course for whoever want to get an expertise in programming. A special care to practice is taken through solving simple issues C++ as a tool

Ects : 3
Compétence à acquérir :
Master econometrics (static) tools in empirical finance: factor models, risk premia, etc.

Description du contenu de l'enseignement :
Financial Data, Econometrics of Efficient frontier, CAPM to multifactor pricing models estimations
To offer an overview of mostly used econometrics tools and the way these methodologies can be used in empirical finance, both in investment banking and asset management.

Ects : 3
Compétence à acquérir :
Master the econometrics (dynamic) tools used in empirical finance

Description du contenu de l'enseignement :
Stationarity, autocorrelation, ARMA models, volatility models (GARCH, Stochastic volatility, Regime switching models ...)
To study the theory, modeling, programming, and interpretation of the major time series models

Enseignant responsable :

• MABROUK CHETOUANE

Ects : 6
Compétence à acquérir :
The lecture starts with discrete time models which can be viewed as a proxy for continuous settings, and for which we present in detail the theory of arbitrage pricing. We then develop on the theory of continuous time models. We start with a general Itô-type framework and then specialize to different situations: Markovian models, local and stochastic volatility models. For each of them, we discuss the valuation and the hedging of different types of options : plain Vanilla and barrier options, American options, options on realized variance, etc. Finally, we present several specific volatility models (Heston, CEV, SABR,...) and discuss their specificities.
Pré-requis obligatoires :
Basic probability theory, stochastic processes (martingales,...), stochastic calculus in continuous time (Brownian motion, Itô formula, Stochastic differential equations)

Description du contenu de l'enseignement :
Advanced derivative pricing and stochastic calculus.
This course requires that the students have validated the course "Finance in continuous time". Its gives more insights into the theory of derivative asset pricing as well as the main models and techniques used in practice.

Bibliographie, lectures recommandées
Bouchard B. et Chassagneux J.F., Fundamentals and advanced Techniques in derivatives hedging, Springer, 2016.
Lamberton D. et B. Lapeyre, Introduction au calcul stochastique appliqué à la finance, Ellipses, Paris, 1999.

Enseignant responsable :

• PAUL GASSIAT

Ects : 3
Compétence à acquérir :
Knowledge in Python programming for empirical finance

Description du contenu de l'enseignement :
Python in finance : getting data, cleaning data, data vizualisation, econometrics, stochastic processes and finance applications. “scientific libraries” in Python: numpy, scipy, pandas, and matplotlib.
To provide students with the tools for financial data analysis in Python.

Ects : 3
Compétence à acquérir :
Professional knowledge in the Fixed Income field .

Description du contenu de l'enseignement :
Provide students a broad understanding of main Fixed Income concepts, methods and products , both qualitatively and quantitatively

Enseignant responsable :

• ARNAUD LEVY RUEFF

Ects : 3
Compétence à acquérir :
Theoretical and practical knowledge of linear regression models estimation technics. Being able to set up an econometric analysis.

Description du contenu de l'enseignement :
Simple and multiple linear regression models, inference and diagnotic tests
To provide participants with the basic skills and knowledge necessary to undertake empirical research and to prepare them to the advanced course in Econometrics of Financial Markets

Ects : 3
Compétence à acquérir :
Deep understanding of probability theory and continuous time processes, allowing for a rigorous understanding of the standard dynamic stock models

Description du contenu de l'enseignement :
Basics of probability theory and continuous time processes, stochastic calculus tools, complete tudy of Black Scholes model and uses
To present the basics of probability theory and continuous time processes, allowing for a rigorous understanding of the standard dynamic stock models.

Ects : 3
Compétence à acquérir :
Master the issues and tools in risk management
Mode de contrôle des connaissances :
Final Exam

Description du contenu de l'enseignement :
Risk Management, Sensitivities, VaR, Expected Shortfall, Stress testing, Counterparty Risk on Market Operations, Liquidity risk, Basel requirements, multivariate models, Extreme risks
Understanding the main issues and tools in risk management

Ects : 6
Compétence à acquérir :
Master the technics, tools and strategies for alpha extraction

Description du contenu de l'enseignement :
Alpha in quantitative strategies. Alpha extraction tools. Risk premia. Volatility strategies.
To understand what Alpha is about (by opposition to beta) and what are the various form it can take when analysing and eventually replicating it through advanced methods in quantitative Investment strategies.

Enseignant responsable :

• GUILLAUME MONARCHA

Ects : 3
Compétence à acquérir :
Master the regulatory prudential and market reforms, at the global level and across regions

Description du contenu de l'enseignement :
Financial regulation, prudential regulation around the world, regulation to "too big to fail" banks and fragmented environment
To give the students an overview of recent and future regulatory prudential and market reforms, at the global level and across regions.

Ects : 6

Ects : 3
Compétence à acquérir :
Master the modelling and numerical analysis of financial derivatives

Description du contenu de l'enseignement :
Modeling and numerical analysis of financial derivatives. Numerical methods needed for quantitative work in finance: binomial and trinomial methods, finite difference methods, Monte-Carlo simulation, random number generators, option pricing and hedging
Understanding the financial meaning of the related mathematics: model parameters, implied volatility, Greeks.

Learning how to derive a pricing equation based on the probabilistic formulation of a model, possibly with stochastic volatility and/or jumps,

Learning how to implement a theta-scheme of finite differences or a tree pricing method,

Learning simulation Monte Carlo pricing and Greeking methods: basic principles and variance reduction techniques, first in a set-up of random variables or vectors, then in a dynamic set-up of stochastic processes.

Ects : 3
Compétence à acquérir :
Advance the understanding and practice of electronic markets.

Description du contenu de l'enseignement :
Electronic financial markets, Trading cost analysis, optimal execution, high ferquency data, trading with limit orders, otpimal trding
To present financial markets, trading mechanisms and their evolution dedicated to advancing the understanding and practice of electronic markets. A particular attention will be dedicated to optimal trading and execution technics.

Enseignant responsable :

• GAELLE LE FOL

Ects : 3
Compétence à acquérir :
Relaxing the traditional assumptions of finance models has proved a fruit ful way of understanding financial decision-making and anomalies found in empirical tests.

Description du contenu de l'enseignement :
Bevavioral finance, cognitive and social psychology in finance
Introduce students to this relatively new sub-discipline of finance which incorporates insights from cognitive and social psychology into finance. In the past 20 years behavioral finance has emerged as an important stream of thinking in finance.

Enseignant responsable :

• ALBERTO MANCONI

Ects : 3
Compétence à acquérir :
Knowledge on the modelling methods specific to alternative finance.

Description du contenu de l'enseignement :
Products and technics used at the fringe of finance including crowfunding, peer-2-peer finance, shadow banking, Bitcoin, social and environmental impact products
To propose an out-of the box perspective upon the financial markets and to explore the financial universe beyond the traditional investments like equity, bonds, currency, etc. The course focuses on the products and technics used at the fringe of finance including crowfunding, peer-2-peer finance, shadow banking, Bitcoin, social and environmental impact products.

Ects : 3
Compétence à acquérir :
Master the theory and practice of Fi Income products pricing and hedging.

Description du contenu de l'enseignement :
Pricing and hedging of exotic rate products: Interest rate futures and bonds, Interest rate swaps, Zero coupon rate construction, Caps -Floors, Swaptions (pricing and smile), Volatility Surface/Cube, Bermudan swaptions, Callable bond and swap, Callable reverse floater, Callable snowball ... Models : HJM, Libor Market Model, Cheyette Model ...
To introduce issues and problems that arise regarding pricing and hedging of exotic rate products.

Ects : 3
Compétence à acquérir :
Deep understanding of the latest developments in commodity markets, grasp the financial, social and regulatory challenges behind commodity investing as well as the necessary concepts and tools

Description du contenu de l'enseignement :
Commodities spot prices models, Forward curves, Options pricing models (Futures options, real options)
Commodities investing (properties, indices, relations to other asset classes and hedge funds strategies)
To provide an economic understanding of the latest developments in commodity markets, grasp the financial, social and regulatory challenges behind commodity investing as well as the necessary concepts and tools to i) evaluate and hedge business exposure to commodities price fluctuations, ii) construct physical or paper trading strategies on commodities markets, iii) price and hedge complex commodity derivatives iv) present risk measurement and stress testing principles for commodity portfolios.

Ects : 3
Compétence à acquérir :
Good technical knowledge of pricing models and computational methods for energy derivatives products

Description du contenu de l'enseignement :
Energy markets, pricing Spot and Forward models for electricity and gas prices, Vanilla energy derivatives, Structured derivatives and physical assets, Advanced computational methods for stochastic control in energy markets
To provide students with an overview of both the technical aspects of energy markets as well as the most commonly used price models for pricing energy derivatives.

Ects : 3
Compétence à acquérir :
Be able to implement a whole machine learning pipeline in Python. From key features (data cleaning, cross-validation..) to machine learning models implementation (linear regression, tree-based techniques, neural networks...).

Description du contenu de l'enseignement :
From key features (data cleaning, cross-validation..) to machine learning models implementation (linear regression, tree-based techniques, neural networks..).
To provide students with an introduction to supervised machine learning and its applications to finance.

Ects : 3
Compétence à acquérir :
Master the mecanisms behind the credit risk products and their pricing models

Description du contenu de l'enseignement :
Duration And Convexity of Bond Yields, Price Dynamics of Mortgages and Cash Flows, Default Risk, Interest Rate Volatility, Financial Risk Management of Bond Portfolios, Securitization, Corporate Debt And The Securitization Markets, Asset-Backed Commercial Paper, Collateralized Loan Obligations, Structuring Synthetic Collateralized Loan Obligations, Securitization of Revolving Credit, Financial Derivatives And Their Use As Hedging Tools.
To provide a theoretical and practical analysis of credit risk markets and products

Ects : 6
Compétence à acquérir :
Practical knowledge to design quantitative investment strategies.

Description du contenu de l'enseignement :
Beta investments, Equity beta portfolio strategies, Bonds beta portfolio strategies, multi asset allocation approach
to deeply study beta (passive) investments across asset class, and to be able to design quantitative investment strategies to monetize views on factors (macro, curve and style)

Enseignant responsable :

• SCHLOMY BOTBOL

Ects : 6
Compétence à acquérir :
Developing specific skills including customer relationship management, teamwork, decision-making and communication (oral and written) as part of a consulting mission of a company

Description du contenu de l'enseignement :
Hands-on experience while working on a large-scale project within a team. This exercise will involve specialized and technical knowledge gained from several courses: commodities, quantitative asset management, pricing, risk management, trading strategies
To provide fundamental knowledge as far as time and project-building management. To gather and implement the full spectrum of skills students have learned within the Master’s programme to meet the needs of, or to fulfil, the project.
To develop specific skills including client relationship management, teamwork, decision-making as well as communication (oral and written).

Ects : 3
Compétence à acquérir :
Knowledge in structured products: how to build them (funded, or unfunded), how to hedge them and how to manage the life cycle.

Description du contenu de l'enseignement :
Exotic options, structured products
The course will recall some key elements in fixed income and derivatives to concentrate first on exotic payoffs and then structured products. We will have a review of products from each main asset class. We will learn how to build them (funded, or unfunded), how to hedge them and how to manage the life cycle.