Financial Derivatives

Syllabus

20MBAFM402: Financial Derivatives

Module 1                                                                                                             5 Hours

Financial Derivatives: Meaning, Benefits, Types (Both Exchange Traded and OTC Traded) and Features of Financial Derivatives-Factors Causing Growth of Derivatives-Functions of Derivatives Market-Derivative Market Players (Hedgers, Speculators and Arbitragers)-Derivatives Market in India. (Theory).

Module 2                                                                                                             7 Hours

Futures and Forwards:  Meaning, Features and Types of Futures/Forwards-Futures vs Forwards-Mechanics of Buying and Selling Futures/Forwards-Hedging Through Futures/Forwards-Marking-to-Market Process-Contract Specifications of Stock, Index and Commodity Futures–Valuation of Futures/Forwards Using Cost of Carry Model[1]Arbitrage Process-Interest Rate Futures and Options. (Numerical Problems on MTM and Valuation of Futures/Forwards). (Theory and Problems).

Module 3                                                                                                             7 Hours

Option Contracts:  Meaning, Features and Types of Option Contracts-Options vs Futures/Forwards-Mechanics of Buying and Selling Option Contracts-Contract Specifications of Stock, Index and Commodity Options-Option Pricing-Factors Affecting Option Pricing-Valuation of Option Contracts Using Black Scholes Model and Binomial Model-Put-Call Parity Theory-Option Greeks-Option Trading Strategies-Interest Rate Options-Exotic Options. (Numerical Problems On all Aspects Except Exotic Options). (Theory and Problems). 

Module 4                                                                                                             7 Hours

Financial Swaps: Meaning, Features And Advantages of Financial Swaps-Types of Financial Swaps (Interest Rate Swap, Currency Swap, Equity Swap and Commodity Swap)-Mechanics of Interest Rate Swaps–Triangular Swap (Numerical Problems Only On Interest Rate Swap Including Triangular Swap)-Valuation of Interest Rate Swaps- Only Theory. (Theory and Problems).

Module 5                                                                                                             7 Hours

Commodity Derivative Market: Meaning of Commodity Derivatives-Commodity Derivative Exchanges (With Commodities Traded) in India-Trading and Settlement System of Commodity Derivatives-SEBI Guidelines for Commodity Market-Commodities Traded. (Theory).

Module 6                                                                                                             7 Hours

Credit Derivatives and VaR: Credit Derivatives-Total Return Swap (TRS)-Credit Default Swap (CDS)-Types of CDS-Asset Backed Securities (ABS)-Collateralised Debt Obligation (CDO)-Sub-Prime Crisis-2007-Credit Spread Options-Probability of Default-Forward Rate Agreement (FRA)-Interest Rate Caps/Floors/Collars-Types of Interest Rates-Zero Rate[1]Forward Rate-Value-at-Risk-Meaning, VaR Models-Stress Testing and Back Testing. (Numerical Problems Only On VaR, Zero Rate and Forward Rate). (Theory and Problems).