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OFS-X10
PGDM-PT 2010-13: Term-VIII

Options Future and Swaps
Credits 3
Faculty Name B. P. Mishra
Program PGDM -PT
Academic Year and Term 2012-13, Term-VIII

Course Description
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 banker 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.

Student Learning Outcomes:

· To have an understanding of Indian Financial Derivative Market
· To have an fair idea about different financial derivatives and their trading in India
· To know the intricacies of various Risk- management techniques to manage financial risk
· To know the details of Regulatory perspective in Derivative Market


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 which the student feel comfortable.

Details of the course

Introduction to Derivative market- 4 sessions

· Definition and meaning,
· Instrument types, uses,
· Derivatives in India Forwards and Futures- 5 sessions

ü Nature, types, settlements
ü Basic hedging practices,
ü Structuring of products
ü Basis risk, optimal hedge ratio Options— 4 sessions

§ 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 hedging techniques Swaps- 2 sessions

Plain vanilla interest rate swap
Evaluation

Quiz- = 40%
Class Participation = 10%
End term =50%
Total 100%

The minimum pass mark is 30% with relative grading


Academic Integrity

For individual quizzes/End term, it is unethical to seek any direct help from others, whether or not you finally make use of the help. Discussions among individuals either in class-room or in the examination hall are completely forbidden. Those who will be identified disturbing in the class will be asked to leave the class immediately. Any form of copying from one another or from any outside source is forbidden. Any unfair means while writing the term Paper will be easily identified, and the respective student will be penalized in terms of lower score. No one is allowed to come to the class after the scheduled start time.

Created By: Debasis Mohanty on 06/15/2012 at 04:06 PM
Category: ExPGP-III Doctype: Document

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