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OFS-X09
PGDM-PT-2009-12: Term-VIII
Options Future and Swaps
(3 credits)
Facilitator- Prof B.P.Mishra
Options, Future and Swaps are a class of derivatives
.
Few topics in Finance have undergone the type of change that Derivatives have over the last few years. Managers across functions must have some basic knowledge and appreciation of this new financial tool
.Investment banke
r and other corporate practitioners have discovered several new uses of derivatives. Many students and practitioners find the basic tenet of these derivatives difficult to understand in the very beginning. Standard text books are embedded in a cluster of applicable theory and mathematical notations, the beginners are often confounded.
This course is an attempt to help a new comer to explore the world of derivatives on various facets in a simple manner. The endeavor will be to dwell on the most important characteristics of these instruments, without going too much of mathematical analysis. Once comfortable with the basics, students may get a deeper understanding with the help of full mathematical applications.
Details of the course
Introduction to Derivative market-
·
Definition and meaning,
·
Instrument types, uses,
·
Derivatives in India
Forwards and Futures-
ü
Nature, types, settlements
ü
Basic hedging practices,
ü
Structuring of products
ü
Basis risk, optimal hedge ratio
Options—
§
Types of Options and option terminology
§
Principles of option pricing- put call parity
§
The Binomial model
§
The Black- Scholes Model
§
Volatility and implied volatility
§
Option Greeks and basic delta hedging
Swaps
Plain vanilla interest rate swap
Currency swap
Valuing swaps
Evaluation
Quiz- (2*10% ) = 20%
Midterm =30%
Endterm =50%
Total 100%
REFERENCES
1. Introduction to Futures and Option markets---- John C. Hull
2. Future Markets- Theory and Practice---Sunil K Parameswaran
3. Future Markets made easy( with 250 Questions & Answers)- S.K.Parameswaran
4. Any other standard text on the subject
Created By:
Debasis Mohanty
on
08/09/2011
at
11:39 AM
Category
:
ExPGP-III
Doctype
:
Document
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