| Aimed at |
Finance Specilization and International Finance and International Business |
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| Importance |
Specilization |
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| Pre requisites |
Good Math Skills, Investments |
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| Learning Objective |
After attending this course a student will be in a position to assess which risks to hedge and how, which risk to exploit and which risk to pass through. |
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| Pedagogy |
Class Room Lectures, Case Study, Problems Solving |
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Group Assignments Presentation. |
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| Assuring Learning |
Class Room Lectures, Case Studies, Individual Assignment and Projects.ensures learning outcome is satisfactory. |
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| Session 1 |
Introduction |
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Exchange Traded Markets, Forwards, Futures, Options |
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Types of Traders, Hedgers, Speculators, Arbitrageurs |
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| Session 3 |
Mechanics of futures Markets |
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Specification of futures contracts |
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Convergence, Daily settlement, Quotes, Delivery, Orders |
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Regulation, Forward vs. Futures Contracts |
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| Session 5 |
Hedging Strategies using Futures |
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Basic Principals, Arguments for and against hedging |
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Basis risk, Cross hedging, Stock Index futures, Rolling |
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| Session 6 |
Interest Rates |
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Types of rates, Measuring Interest rates, Zero Rates, |
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Bond Pricing, Forward rates, FRA, Duration, Convexity |
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| Session 7 |
Determination of forward and futures prices |
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Investment vs. Consumption Assets, Short Selling |
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Known Income, Known Yield, Valuing forward contracts |
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Cost of carry, Delivery options |
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| Session 8 |
Interest Rate Futures |
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Day count conventions, Bond futures, Eurodollar futures |
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Duration based hedging , Hedging portfolios |
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| Session 9 |
Swaps |
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Mechanics of interest rate swaps, Valuation, Credit risk |
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| Session 10 |
Mechanics of Options Market |
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Type, Positions, Assets, Trading, Margins |
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Regulation, ESOP |
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| Session 11 |
Properties of stock options |
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Factors affecting option prices, assumptions, put call |
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parity, effect of dividends. |
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| Session 12 |
Trading strategies involving options |
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Spreads, Combinations, Other Payoffs |
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| Session 13 |
Binomial Trees |
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One Step, Two step |
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| Session 14 |
Valuation of Options |
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Formula, Call and Put option, effect of dividends, warrant |
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and ESOP |
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| Session 16 |
Option on Stock indices and currencies |
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Indices, Currency, Option on stocks paying known dividend |
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yield, valuation of european currency options. |
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| Session 17 |
Futures options |
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Nature, Reasons for popularity. |
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| Session 18 |
Greek Letters |
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Delta, Theta, Gamma, Vega, Rho |
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| Session 20 |
Value at Risk |
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| Session 21 |
Credit Risk |
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| Session 23 |
Credit derivatives |
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CDS, CDO, Asset Backed Securities |
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| Session 24 |
Exotic Options |
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| Session 25 |
Weather , energy, insurance derivatives |
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| Session 26 |
Real Options |
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| Session 28 |
Derivative mishaps |
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