Thierry Bechu

Global Macro Fund Manager – 1798, Lombard Odier AM Autres cours :

Schlomy Botbol

Quantitative analyst, Comgest

Brice Périn

Senior Portfolio Manager, Generali Investment Europe

Stratégies quantitatives d'investissement pour extraire de l'alpha

Les objectifs du cours

The objectives of this course are to explain 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.

Plan du cours

Un plan de cours indicatif est le suivant:

Séance 1 : Definitions of Alpha, does Alpha still exist? Technics and tools
Séance 2 : Traditional Risk Premia (the ERP puzzle and the main equity factors)
Séance 3 : Traditional RP (fixed income, commodities, illiquid assets)
Séance 4 : Alternative RP (Definition, How alternative investments Implement it ?)
Séance 5 : Option strategies (vanilla)
TD 1 : Applications
Séance 6 : Volatility arbitrage fund
TD 2 : Applications
Séance 7 : Variance Swaps
TD 3 : Applications

 

Bibliographie

Cochrane, J.H.(2005), Asset Pricing, Revised Edition, Princeton University Press.
Hull, J. (2006), Options, futures and other derivatives, 6th ed., Pearson Prentice Hall
Ilmanen, A. (2011), Expected returns, Wiley Finance.
MacDonald R. L. (2006) Derivatives Markets, 2nd ed., Addison Wesley
Riva, F. (2008) Applications financières sous Excel en Visual Basic, 3ème éd., Economica.
 

Examen

Final exam