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OFS-X05
(ExPGP 2005-08 : Term-VII)

Options, Futures and Swaps



Course Instructor
Dr. Rajesh K. Muthuswamy (rajesh@ximb.ac.in)

Course Brief
OFS is a basic course in Financial Risk Management. The participants would be introduced to trading mechanisms of the derivative markets. They would be exposed to pricing of the plain vanilla derivative instruments, mainly using arbitrage ideas. The course would also discuss exotic form of derivatives and value at risk.

Contents
Futures Markets; Pricing of Forwards and Futures
Swaps
Options Markets; Properties of Option Prices; Trading strategies involving options; Option Pricing – Black-Scholes, Binomial; Options on stock indices, forex, futures
Value-at-risk
Credit derivatives
Exotic options

Pedagogy
Class lectures, Assignments and Case discussions

Evaluation
Performance in this course would depend heavily on the ability of the participants to solve problems, using just paper & pencil.

Class tests (30%): Best three out of four tests

Assignments (20%): Depending on the number of students, assignments would have to be done individually or in groups of maximum two students. Assignments would include solving homework problem sets, simulation exercises using spreadsheets or solving published cases. Hard copy submission is a must for all assignments. Soft copy submissions would be required wherever relevant.

End term (50%): End term examination would include the entire course coverage.

Textbook
John C. Hull, Fundamentals of Futures and Options, Pearson Education, 4th edition.

References

1. John C. Hull, Options, Futures and other derivatives, PHI, 6th edition, 2005.
2. R. W. Kolb, Futures, options and swaps, Blackwell, 2003.
3. R. W. Kolb, Understanding futures markets, Prentice Hall, 1997.
4. R. W. Kolb, Practical readings in financial derivatives, Blackwell, 1998.
5. D. M. Chance, Introduction to derivatives and risk management, Thomson, 2004.
6. Paul Wilmott, PW Introduces Quantitative Finance, John Wiley, 2001.
7. R. Jarrow and S. Turnbull, Derivative securities, South Western, 2000.
8. S. Benninga, Financial modeling, MIT Press, 2001.
9. S. M. Sundaresan, Fixed income markets and their derivatives, South-Western, 1997.
Created By: Bijoy Kar on 06/09/2007 at 01:56 PM
Category: ExPGP-III Doctype: Document

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