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Financial Derivatives 2009 10CSS

This document provides information about a course on financial derivatives including the objectives, pedagogy, evaluation criteria, reading materials, and session plan. The objective is to introduce commonly used derivative instruments and provide a conceptual framework for understanding derivatives for uses such as hedging, speculation, and arbitrage. Students will learn to identify business situations requiring derivatives, determine appropriate derivatives, and price derivatives. Evaluation includes class participation, a term project, midterm and final exams. Sessions cover topics such as forwards, futures, swaps, options, and related trading strategies and pricing models.

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32 views2 pages

Financial Derivatives 2009 10CSS

This document provides information about a course on financial derivatives including the objectives, pedagogy, evaluation criteria, reading materials, and session plan. The objective is to introduce commonly used derivative instruments and provide a conceptual framework for understanding derivatives for uses such as hedging, speculation, and arbitrage. Students will learn to identify business situations requiring derivatives, determine appropriate derivatives, and price derivatives. Evaluation includes class participation, a term project, midterm and final exams. Sessions cover topics such as forwards, futures, swaps, options, and related trading strategies and pricing models.

Uploaded by

Cool Verma
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© Attribution Non-Commercial (BY-NC)
We take content rights seriously. If you suspect this is your content, claim it here.
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Financial Derivatives

Term 1, 2009-2010 PGDM-II and Executive PGDM Instructor: Telephone: E-Mail Prof C S Sharma 09311 333303 [email protected]

Objectives The objective of this course is to introduce the properties of the most commonly used derivative instruments and to provide a conceptual framework for understanding derivatives. Apart from concepts, emphasis will be put on the application of derivatives in firms and financial institutions for hedging, speculation, and arbitrage. This course covers forward contracts, futures contracts, swaps, and options. At the end of the course the students should be able: To identify business situations where derivatives are required To determine which derivatives to use for different requirements To price derivatives Pedagogy Classroom lectures and spreadsheet modeling. Evaluation Criteria(%) Class participation 10 Term Project 25 Mid term exam 30 End term exam 35 100 Reading Material Text book 1. Hull, J. C., Fundamentals of Futures and Options Markets, 5th Edition, Pearson Education, 2005. (Low Price Edition) Reference book 1. Varma, J. R., Derivatives and Risk Management, Tata McGraw-Hill, 2008. (Low Price Edition)

Session Plan (This plan may change depending upon the pace of the course) Session No. 1-2 3 4 5-6 7-8 9 10 11-12 13-14 15-16 17 18 19-20 Topic Derivative Instruments and Traders Properties of Forwards and Futures Hedging Strategies using Forwards and Futures Forwards and Futures Pricing Swaps Plain Vanilla Options Barrier Options Properties of Options Trading Strategies using Options Option Pricing Binomial Trees Option Pricing Black Scholes Model Value at Risk Option Greeks Reading Chapter 1 of text book Chapter 2 of text book Chapter 3 of text book Chapter 5 of text book Chapter 7 of text book Chapter 8 of text book Section 16.2 of reference book Chapter 9 of text book Chapter 10 of text book Chapter 11 of text book Chapter 12 of text book Handout Chapter 15 of text book

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