FINANCIAL DERIVATIVES
Objective: to enlighten the students with the Concepts and Practical applications of derivatives in the Security marketsUnit – I : Introduction to Financial Derivatives – Meaning and Need – Growth of Financial Derivatives in India – Derivative Markets – Participants – Functions – Types of Derivatives – Forwards – Futures – Options – Swaps – The Regulatory Framework of Derivatives Trading in India.
Unit – II : Features of Futures – Differences Between Forwards and Futures – Financial Futures –Trading – Currency Future – Interest Rate Futures – Pricing of Future Contracts – Value At Risk (VAR) – Hedging Strategies – Hedging with Stock Index Futures – Types of Members and Margining System in India – Futures Trading on BSE & NSE.
Unit – III : Options Market – Meaning & Need – Options Vs futures – Types of Options Contracts – Call Options – Put Options – Trading Strategies Involving Options – Basic Option Positions – Margins – Options on stock Indices – Option Markets in India on NSE and BSE.
Unit – IV : Option Pricing – Intrinsic Value and Time Value - Pricing at Expiration – Factors Affecting Options pricing – Put-Call Parity Pricing Relationship – Pricing Models – Introduction to Binominal Option Pricing Model – Black Scholes Option Pricing Model.
Unit – V: Swaps – Meaning – Overview – The Structure of Swaps – Interest Rate Swaps –Currency Swaps – Commodity Swaps – Swap Variant – Swap Dealer Role – Equity Swaps – Economic Functions of Swap Transactions – FRAs and Swaps.are Compulsory)
(Case Studies)
Suggested Books:
Rene M Stulz, Risk Management and Derivatives, Cengage, New Delhi
David Thomas. W & Dubofsky Miller. Jr., Derivatives Valuation and Risk Management, OxfordUniversity, Indian Edition.
N.D.Vohra & B.R.Baghi, Futures and Options, Tata McGraw-Hill Publishing Company Ltd.
Red Head: Financial Derivatives: An Introduction to Futures, Forward, Options” Prentice Hall of India.
David A. Dubofsky, Thomas W.Miller, Jr.: Derivatives: Valuation and Risk Management, Oxford University Press.
Sunil K.Parameswaran, “Futures Markets: Theory and Practice” Tata-McGraw-Hill Publishing Company Ltd.
D.C.Parwari, Financial Futures and Options, Jaico Publishing House
T.V.Somanathan, Derivatives, Tata McGraw-Hill Publishing Company Ltd.
NSE manual of Indian Futures & Options & www.Sebi.com
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