Scribd
Upload
23 views

Financial Derivatives: Term IV, 2015-2016 Pgdm-Ii

This document provides information about a course on Financial Derivatives including the objectives, pedagogy, evaluation criteria, reading materials, and session plan. The course aims to introduce commonly used derivative instruments and provide a conceptual framework for understanding derivatives. By the end of the course, students will be able to identify situations where derivatives are needed, determine which derivatives to use for different requirements, and price derivatives. The course will include classroom lectures and spreadsheet modeling. Students will be evaluated based on quizzes, a term project, midterm exam, and end term exam.

Uploaded by

happypallav
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as DOC, PDF, TXT or read online on Scribd
23 views

Financial Derivatives: Term IV, 2015-2016 Pgdm-Ii

This document provides information about a course on Financial Derivatives including the objectives, pedagogy, evaluation criteria, reading materials, and session plan. The course aims to introduce commonly used derivative instruments and provide a conceptual framework for understanding derivatives. By the end of the course, students will be able to identify situations where derivatives are needed, determine which derivatives to use for different requirements, and price derivatives. The course will include classroom lectures and spreadsheet modeling. Students will be evaluated based on quizzes, a term project, midterm exam, and end term exam.

Uploaded by

happypallav
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as DOC, PDF, TXT or read online on Scribd
You are on page 1/ 2

Financial Derivatives

Term IV, 2015-2016


PGDM-II
Faculty:
Harsh Vardhan
Telephone:
Ext. 312
E-Mail
[email protected]
Chamber contact : Monday
[Batch 1]
Tuesday
[Batch 2]

2:30-3:30 pm
2:30-3:30 pm

Objectives
The objective of this course is to introduce the properties and pricing of the most commonly used
derivative instruments and to provide a conceptual framework for understanding derivatives.
This course covers forward contracts, futures contracts and options. At the end of the course the
students would be able to develop basic skills:

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 (%)
Quizzes (4)
Term Project
Midterm exam
End term exam

20
20
20
40
100

Reading Material
Text book
1. Hull, J. C., Fundamentals of Futures and Options Markets, 8th Edition, Pearson Education,
2014. (Low Price Edition)
Reference Books
1. Varna, J. R., Derivatives and Risk Management, Tata McGraw-Hill, 2008. (Low Price
Edition)
2. Hull, J. C. & Basu S, Options, Futures, and Other Derivatives, 8th Edition, Pearson
Education, 2011
3. Stutz, R., Risk Management and Derivatives, Thomson South-Western, 2003
1

Session Plan
Session
No.
1-2

Topic

Objective

Reading
from the
text book

Derivative Instruments and Introduction of Future,


Traders
Forward & Options.
Properties of Forwards and Forward and Future contracts,
Futures
Types of Trader, Operation of
Margins.
Interest Rates
Measuring Interest Rates,
Zero rates, Determining
Treasury Zero Rates, Forward
Rates
Forwards and Futures Pricing
Relationship between forward
Price and Spot Price, Short
Selling, Forward Price for an
investment asset, Valuing
Forward Contracts, Future
Prices of Stock Indices,
Futures on Currencies and
Commodities, Cost of Carry

Chapter 1

11-12

Properties of Options

Chapter
9&10

13-15

Option Pricing - Binomial Trees

3-4
5-6

7-10

Types of Options-Call & Put,


Option Positions, Trading,
Factors affecting Option
Prices, Put Call Parity
Valuation of options on
stocks and other assets, One
step and Two step Binomial
Model, Risk Neutral
Valuation

Chapter 4

Chapter 5

Chapter 12

16-18

Option Pricing - Black Sholes


Model

Chapter 13

19-20

Hedging
Options

Chapter 3

Strategies

Assumptions Underlying
Black-Scholes, BS /Merton
Analysis, Properties of BS
formula and applications
using Short /Long Hedge, Basis
Risk, Hedging Equity
Portfolio

Chapter 2

(This is a tentative session plan and it might change depending upon the pace of the course as well as understanding
and progress of participants.)

You might also like