Course Details
Subject {L-T-P / C} : SM6121 : Financial Derivatives { 3-0-0 / 3}
Subject Nature : Theory
Coordinator : Dr. Dushyant Ashok Mahadik
Syllabus
Introduction: Evolution of derivatives markets in India and around the globe. Objectives of market participants.
Derivatives Terminology: Futures, Forwards, Options, Settlement, Delivery, Open Interest, Pay Off Diagrams, Equity Futures and Options, Index Futures, Index Options.
Pricing of Derivatives: The Cost of Carry Models for Stock and Index Futures, Cash Price and Futures Price, Arbitrage Opportunity, Factors Affecting Options Pricing,
Binominal Pricing Model, The Black-Scholes Model, Pricing of Index Options.
Trading Strategies: Hedging, Speculation, Arbitrage, Straddle, Strangles, Strips and Straps, Spread Trading, Collar, etc. Portfolio risk, Value at Risk, SPAN margin requirements. Trading systems. Eligibility.
Course Objectives
- to build up an understanding about the most commonly traded Derivative Instruments in derivative market
- To understand the role of derivatives in the modern capital markets, in particular for risk management.
Course Outcomes
The course is designed to build up an understanding about the most commonly traded Derivative <br />Instruments in derivative market and their role in the modern capital markets, in particular for risk <br />management, explained both from a theoretical as well as practical point of view.
Essential Reading
- Hull, J. C. & Basu, S., Options, Futures and other Derivatives, Pearson Education , 7e +
- Gupta, S. L., Financial Derivatives., Prentice Hall of India.
Supplementary Reading
- Chandra, P., Investment Analysis and Portfolio Management, Tata McGraw Hill.
- Pandian, P., Security Analysis and Portfolio Management, Vikas Publishing House.