Marius-Cristian Frunza

Managing Partner, Schwarzthal Kapital

Olivier Toutain

Head of the Risk Modelling Unit, Banque de France, Adjunct Professor, Université Paris - Dauphine Autres cours :

Alternative Finance

Les objectifs du cours

The aim of this course is 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… . We will focus the course 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….

Throughout this course students will learn about alternative investment supports and alternative financing solutions. The objectives of this lecture are:

  • To understand the mechanism of alternative risks: global warming, catastrophic events including on the economy, …
  • To explore new area including Environmental, Social, and Governance (ESG) Investment, cryptocurrency etc..
  • To get familiar with modelling methods specific to alternative finance.


Les étudiants doivent être inscrits au cours de Séries Temporelles Appliquées et doivent avoir validé Introduction à l'économétrie de la Finance et Produits dérivés

Plan du cours

1. Alternative finance 101

Two faces of the same coin: as investors or as issuers.

2. Modelling methods for alternative finance

  • Introduction to the non-Gaussian universe
  • Real Option Theory
  • Extreme value theory

3. Environmental, Social, and Governance (ESG) Investment

  • Why ESG? Focus on negative externalities
  • Cap and trade vs taxation
  • ESG investment: strengths and limits

4. Environmental investment support

  • Emission markets
  • Environmental infrastructures
  • Green bonds

5. Crypto-currency : an alternative financial universe.
6. Alternative capital markets and Fintechs: Focus on Crowdfunding and P2P finance
7. Alternative Risk Transfer

  • Weather derivatives
  • Insurance and re-insurance. Focus on CAT Bonds


  • Alexandridis, A. K. and A. D. Zapranis, 2013: Weather Derivatives, Springer, 300 pages.
  • Barrieu P., and L. Albertini, 2009: The Handbook of Insurance-Linked Securities, Wiley, 398 pages.
  • Frunza, M., 2010: Carbon allowances: A new financial asset, Editions universitaires europeennes, 164 pages.
  • Guthrie G., Real Options in Theory and Practice, 2009, OUP, 432 pages.