You are on page 1of 2

208.

FINANCIAL DERIVATIVES (Credits: 4) Objective: This course aims at providing an in-depth understanding of financial derivatives in terms of concepts, structure, instruments and trading strategies for profit and risk management. MODULE I : Introduction to Derivatives Unit 1: Definition Types Participants and functions Development of exchange traded derivatives Global derivatives markets Exchange traded vs. OTC derivatives markets Derivatives trading in India L.C.Gupta Committee(5) J.R.Varma committee-Requirements for a successful derivatives markets Unit 2: Futures: Introduction Futures terminology Key features of futures contracts Futures vs. Forwards Pay off for futures Equity futures in India Index futures Stock futures Futures trading strategies Hedging Speculation Arbitrage Spread trading. (5) Unit 3: Options: Introduction Options terminology Types Options pay off Equity options contracts in India Index options Stock options Options trading strategies Hedging Speculation Arbitrage Straddle Strangles Strips and straps Spread trading. (5) MODULE II: Pricing of Futures and Options Unit 1: The cost of carry models for stock and index futures Cash price and futures price , arbitrage opportunity. (5) Unit 2: Factors affecting options pricing Option pricing models Binomial pricing model The Black and Scholes Model Pricing of index options (5) Unit 3: Sensitivity of option premia (Delta, Gamma, Lambda, Theta, Rho) (5)

MODULE III: Trading Clearing and Settlement of Options and Futures Unit 1: Futures and options trading system Trader workstations contract specification-specification for stocks and index eligibility for tradingCharges (5) Unit 2: Clearing entities and their role clear mechanism-adjustment for corporate actions- Open position calculation (5) Unit 3; Margining and settlement mechanism-Risk Management-SPANMechanics of SPAN-Overall portfolio margin requirement (5)

MODULE IV: Interest Rate, Credit, Currency and weather Derivatives Unit 1: Interest rate options-caps-floors-collars-swaptions-hedging-credit (5) derivatives-credit risk management Unit 2: Currency futures and options-trading strategies (5) Unit 3: Weather, energy and insurance derivatives-Real options-Derivative mishaps-lessons. (5)

Suggested Readings: 1. John Hull, Options, Futures and other Derivatives, Pearson Education 2. S.L.Gupta, Financial Derivatives, Prentice Hall. 3. Parameshwaran, Financial Derivatives, Mcgraw Hill. 4. D. C. Patwari, Options and Futures- An Indian Perspective, Jaico Publishing House. 5. Punithavati Pandian, Security Analysis and Portfolio Management, Vikas Publishing House. 6. Prasanna Chandra, Security Analysis and Portfolio Management, Tata McGraw Hill. 7. Sanjeev Aggarwal, A Guide to Indian Capital Markets, Bharat Publishing. 8. NCFM Derivatives (Dealers) Module 9. NCFM Currency Derivatives Modules

You might also like