OFS-W07

OFS-W07
PGDM(PT)W 2007-10 : 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 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.

Details of the course

Introduction to Derivative market-

Definition and meaning,
Instrument types, uses,
Derivatives in India

Forwards and Futures-

Nature, types, settlements
Basic hedging practices,
Structuring of products
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

Introduction to Futures and Option markets---- John C. Hull

Future Markets- Theory and Practice---Sunil K Parameswaran

Future Markets made easy( with 250 Questions & Answers)- S.K.Parameswaran

Any other standard text on the subject

Created By: Lingaraj Pattanaik on 12/09/2009 at 02:30 PM
Category: ExPGP-NR-III Doctype: Document

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