Professional Documents
Culture Documents
Format For Instruction Plan [for Courses with Lectures and Tutorials
Text Book: 1 John C. Hull & Shankar Basu - "Options Futures and Other Derivatives", 7th Edison, Pearson Publications, 2009
3 Varma Jayanth - Derivatives and Risk Management, Tata McGraw Hill Publications, New Delhi, 2008
4 Chance, M. Don & Brooks, Robert - "Derivatives and Risk Management Basics" South-Western Cengage learning, New Delhi, 2009
Other Reading
Relevant Websites
Sr. No. (Web adress) (only if relevant to the courses) Salient Features
11 http://www.rotman.utoronto.ca/~hull/TechnicalNotes/index.htm John C Hull's website for Technical Notes
l
12 http://www.cmegroup.com/tools- Glossary of all the derivative terms
information/lookups/glossary/glossary.html
Part 1
Week 1 Lecture 1 Introduction to derivatives and markets ->Reference :2,Ch. 1 Ref - 13
->Reference :1,Ch. 1
Lecture 2 Types and definitions of derivatives (Forwards, ->Reference :1,Ch. 1
Futures, Options, Interests rate, Swaps, CDS, ->Reference :2,Ch. 1
CDOs), Uses of derivatives
Lecture 3 Exchange Traded and OTC derivatives, Derivatives Ref - 5,
Market in India, Regulation Framework and SEBI Ref - 14
guidelines
Week 2 Lecture 4 Introduction to Forwards, Basic Hedging Using ->Reference :1,Ch.1 HomeWork 1 Allocation Ref - 15
Forwards, Forwards Contracts, Limitations of ->Reference :2,Ch. 2
Forwards and Its Markets
Lecture 5 Introduction to Futures, Futures Vs. Forwards, Basic ->Reference :1,Ch. 1 Term Paper 1 Allocation
Risks and Hedging Practices Using Futures ->Reference :2,Ch. 2
->Reference :3,Ch. 2
Lecture 6 Specifications of a Futures Contract, Convergence ->Reference :1,Ch. 2 Ref - 9
of Futures Price to spot price ->Reference :1,Ch. 3
->Reference :2,Ch. 2
->Reference :3,Ch. 2
Week 3 Lecture 7 Daily settlement and Margins, Quotes and Delivery, ->Reference :1,Ch. 2 Ref - 23
cost of carry models ->Reference :2,Ch. 2
->Reference :3,Ch. 2
Lecture 8 Stock Index futures, Commodity Futures and ->Reference :1,Ch. 2 HomeWork 1 Submission
Currency Futures ->Reference :1,Ch. 3
->Reference :2,Ch. 2
Lecture 9 Distinction between futures and forwards contracts, ->Reference :1,Ch. 2
pay-offs, Cash settlement Vs Physical settlement and Ch. 3
->Reference :2,Ch. 2
Week 4 Lecture 10 Pricing Principles, Beta and Optimal Hedge Ratio ->Reference :1,Ch. 5 Ref - 16
->Reference :2,Ch. 2
->Reference :3,Ch. 4
Week 7 Lecture 19 Options Strategies and Pay offs further strategies ->Reference :1,Ch. 10 Ref - 10
(Straddle, Strips & Straps, and Strangle ) ->Reference :2,Ch. 3
->Reference :3,Ch. 11
and Ch. 13
Lecture 20 Option Strategies Further Modeling Quiz 1
Lecture 21 Revisions
MID-TERM
Part 3
Week 8 Lecture 22 Exotic and Asian Options ->Reference :1,Ch. 24 Ref - 27
->Reference :2,Ch. 8
->Reference :3,Ch. 16
Part 4
Week 10 Lecture 30 Collateralized Debt obligations, The Indian Scenario ->Reference :1,Ch. 23
->Reference :2,Ch. 12
->Reference :4,Ch. 15
Week 11 Lecture 31 Weather and Energy Derivatives ->Reference :1,Ch. 25 HomeWork 4 Allocation Ref - 19 & Ref - 20
Lecture 32 Credit Risk Mitigation ->Reference :1,Ch. 22
->Reference :4,Ch. 15
Lecture 33 Intro to Risk Management with Derivatives, Hedging ->Reference :1,Ch. 22 Term Paper 1 Submission
Using Greeks, Delta-Gamma Hedging ->Reference :2,Ch. 14
->Reference :3,Ch. 22
->Reference :4,Ch. 15
Week 12 Lecture 34 Greeks Further understanding (Gamma, Theta, ->Reference :1,Ch. 17 Quiz 2 Ref - 26
Vega, Rho) ->Reference :2,Ch. 9
->Reference :3,Ch. 12
->Reference :4,Ch. 5
Lecture 35 Hedging with Futures (Strategies of hedging, ->Reference :1,Ch. 3
speculation and arbitrage) ->Reference :2,Ch. 14
->Reference :4,Ch. 11
Spill Over
Week 14 Lecture 40 Interest Rate Derivatives & Euro-Dollar Derivatives ->Reference :1,Ch. 7
->Reference :2,Ch. 10
->Reference :3,Ch. 18
->Reference :4,Ch. 14
->Reference :4,Ch. 13
Lecture 41 Duration and Convexity ->Reference :1,Ch. 29
->Reference :4,Ch. 11
Total :- 55 100
* In ENG courses wherever the total exceeds 100, consider x best out of y components of CA, as explained in teacher's guide available on the
UMS
List of suggested topics for term paper[at least 15] (Student to spend about 15 hrs on any one specified term paper)
4. How An Interest Rate Swap Can Be Constructed To Provide A Company With Additional Cash Flow
6. A company's reliance to exclusively to a single commodity derivatives for a it's revenues and assurance on the it's market success
7. Study on the relationship between firm value and exchange rate risk
8. Identifying the elements that are critical to appropriate risk management to a particular industry sector
9. Identifying the elements that are critical to appropriate risk management to a particular firm and its competitors
10. Exchange Rates - Efficient Market Hypothesis and Hedging - whether hedging in the long run is necessary
11. The changes in the prices of aircraft fuel - Fuel Risk Management in Airlines
12. Currency Trades: calls, puts and forwards - finding arbitrage opportunities
13. Use of the Option in Financial risk management - analysis of the hedging strategies in financial risk management
14. Hedging against foreign exchange exposure - hedging techniques for each type of exposure with their advantages and disadvantages
15. Credit Default Swap - liquid types CDS valuation, the motivations to use CDS and pricing
After Mid-Term
Tutorial 8 Numerical problems solving in SWAPs Problem solving
Tutorial 9 Numerical problems solving in FRAs Problem solving
Tutorial 10 Credit Default SWAPs and CDOs cases Problem solving
Tutorial 11 Weather and Energy Derivative Enron cases Problem solving
Tutorial 12 Greeks - Problem Solving Problem solving
Tutorial 13 Simulation and VaR modelling on excel Excel Modelling