Rizvi Institute of Management Studies & Research

Teaching Plan – Semester III

Tuesday, 4th July 2017 – Sunday, 5th November 2017

Faculty Details
Name of the Subject Derivatives and Risk Management
Name of Faculty Bhaskar Sinha
Mobile 7045641699
Email bhaskarsinha@rmi.rizvi.edu.in

Assessment Details
Type of Paper Core

Duration 3 Hours

Marks
40
Internal Assessment
Marks
60
Written Assessment

Total Marks 100

Reference Material
Sr. No. Name of the Book Author
Options, Futures and Other Derivatives, 7th Ed,
1 John C. Hull
Prentice Hall
Derivatives and Risk Management, Oxford
2 Rajiv Srivastava
University Press
3

Classroom Requisites for Students

Sr. No. Requisites

1 Calculators (Must)

2 Basic Excel

1
 Session Plan
Session
Session Coverage Session Requisite
No.

Introduction to Risk management,Derivatives, Types

1 1
& Classification, uses & misuses

Forwards & futures – definitions, differences, pricing,

2 relationship between future and spot prices, types of 2
futures. Etc

Hedging – perfect & imperfect hedging , basis risk ,

3 2
optimal hedge ratio

Stocks & index futures,FRA,Interest rate

4 3
futures,treasury bond futures

Swaps- IRS,Currency swaps,rationale for

5 2
swaps,comparative advantage

Options – basics, terminology,moneyness of

6 1
options,types,difference between F&O

First Internal Assessment

7 1

Option pricing- put call parity, binomial option

8 3
pricing, black& Scholes option pricing models

Option sensitivities , option Greeks, delta

9 1
hedging,Theta,Gamma, other greeks

10 Option strategies 2

11 Second Internal Assessment 1

12 Exotic option ; primer 1

13 VaR 2

14 Revision session 2

15 Problem Solving 2

2
 Internal Assessment

Sr. Type of Internal Group /

Task Marks Timeline
No. Assessment Individual

1 MCQs 20 Individual 2 Hrs

2 Problem solving 20 Individual 3 hrs

NOTE: study notes/slides will be provided on selected topics. Problem solving and cases are an
integral part of our pedagogy, henceforth, students are advised to bring their calculators for their
classes.
 No internal retakes/or change of test dates would be entertained without the prior
permission of the course coordinator. Each internal will be of 20 marks each.