Grade "A+" Accredited by NAAC with a CGPA of 3.46
To equip students with principles and techniques of Derivatives and its Greeks, and Risk Management through stock market.
At the end of the course, students should be able to:
Unit I (3 weeks)
Introduction: History of derivatives and origin of derivatives in India. Concepts of Early delivery, extension & cancellation of forward contracts, Why hedge, Basis risk and its effect on hedgers (Through numerical). Forwards and Futures, Interest rate futures and currency futures, and their hedging strategies, Determination of forward and futures prices
References:
Chapter 1 (Section 1.6)– [S.L Gupta]
Chapter 5 (Section 5.1-5.4)– [S.L Gupta]
https://www.fedai.org.in/; and P.G. Apte
Chapter 3 (Section 3.1-3.3) – [J.C Hull]
Chapter 5 (Section 5.1-5.13) – [J.C Hull]
Chapter 6 (Section 6.1-6.3) – [J.C Hull]
Unit II (3 weeks)
Options and its type, Factors affecting option Prices. Put & call parity theorem. Trading strategies involving options: payoffs call & Put (both buyer and seller), Spreads (Bull, Bear, Box, Butterfly and Calendar Spread), combinations (Straddle, Strangle, Strip, Straps), Options on Stock Indices and currency.
References:
Chapter 9 (Section 9.1) – [J.C Hull]
Chapter 10 (Section 10.1, 10.4) – [J.C Hull]
Chapter 11 (Section 11.1-11.5) – [J.C Hull]
Chapter 15, Chapter 15.-15.6) – [J.C Hull]
Unit III (3weeks)
Binomial model: One Period, Two Period and multiple Period. Black-Scholes option model (for stock and currency both). Concept and calculation of delta, gamma, rho, theta and Vega options.
References:
Chapter 12 (Section 12.1, 12.3-12.7) – [J.C Hull]
Chapter 17 (Section 17.1-17.9) – [J.C Hull]
Unit IV (3 weeks)
Delta Hedging, Gamma Hedging. Making a portfolio Delta Neutral, Gamma Neutral, Delta positive Gamma Neutral and Delta positive Gamma Neutral, Introduction to Swaps, Interest rate swaps, currency swaps, cross-currency swaps
References:
Chapter 12 (Section 12.1, 12.3-12.7) – [J.C Hull]
Chapter 17 (Section 17.1-17.9) – [J.C Hull]
Chapter 7 (Section 7.1-7.4, 7.10-7.13) – [J.C Hull]
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