Pricing, valuation of derivative products (S1223)

The participants have a basic knowledge in maths (simple equations, log and eexp functions) and statistics (mean, standard deviation, "normal", or Gauss distributions), as well as a basic knowledge of derivative products (forwards, futures, swaps, options, CDS).

This program aims evidencing in a clear way, without focusing on pure mathematical developments, the fundamentals of derivatives prices, hypotheses and limits of usual methodologies, with real market examples.

• Fundamental principles and tools for valuing derivative products:
  • the major role of the yield curve and corresponding forward prices.
• Pricing/valuation of unconditional derivatives (forwards, futures, swaps):
  • on stocksand stock indexes;
  • bonds & interest rates;
  • currencies;
  • commodities.
• Pricing/valuation of conditional derivatives (options):
  • in a contingent environment ("random walk", volatility);
  • on stocksand stock indexes;
  • bonds & interest rates;
  • currencies.
• Pricing/valuation of credit derivatives.