duration et duration modifiée; approximation linéaire ou quadratique; situation déclenchante; heuristique
Abstract :
[fr] La duration est fondamentale en mathématiques financières. Nous la présentons de deux manières complémentaires qui sont qualifiées de classique et d’heuristique. La seconde méthode nous paraît originale et bien adaptée pour amener les étudiants à effectuer un travail de recherche sur un problème concret et pour appliquer de nombreux concepts classiquement enseignés dans les programmes de mathématiques.
Disciplines :
Mathematics
Author, co-author :
Bair, Jacques ; Université de Liège > HEC Liège > HEC Liège
Language :
French
Title :
Le concept de duration : une présentation heuristique
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