Inbuss Highlights

"My stint at Infinity has brought out various facets of my personality that were previously unknown to me. So, appears that I'm ripe for Citius, Altius, Fortius!!” - Suruchi Berry, Batch of 2007

Futures, Options & Risk Management

Contact Hours : 30 hrs
Credit : 1 Credit
Prerequisite : Security Analysis & Portfolio Management
Instructor : S. K. Chaudhury

 

COURSE OBJECTIVES

This course is designed to enable the participants to:

  • Understand and appreciate various facets of financial risk management 
  • Understand basics of forward, futures, and options and their applications in hedging  financial risk

 

PEDAGOGY

The participants will learn most of the concepts, tools and techniques through exercises, case studies, and excel based applications (e.g. options pricing) wherever necessary.

 

Component

Weightage

Individual assignments/class participation

10%

Quiz I

10%

Quiz II

10%

Quiz III

10%

Quiz IV 10%
Term-End Examination 50%


STUDY MATERIALS

The study materials will consist of select papers/exercises/cases. In addition, the students may refer to the following text books:


1. Don M Chance, An Introduction to Derivatives & Risk Management (Thompson)
2. John C Hull, Options, Futures, and other Derivatives (Prentice-Hall india)
3. Jayanth Rama Varma, Derivatives and Risk Management (Tata McGraw-Hill) 

 

COURSE CONTENTS

Sessions

1 - 2

  •  Risk management – an overview
  • Financial engineering and corporate strategy

Sessions

3 - 9

  • Forward and futures contracts and markets
  • Pricing of forward and futures (cost of carry model)
  • Commodity futures, stock index futures, interest rate futures, and currency futures
  • Hedging with futures – typical applications

Sessions

10 - 16

  • Options, payoffs, put-call parity, and trading strategies
  • Options pricing (Black-Scholes model)
  • Commodity options, index options, stock options, and currency options
  • Hedging with options – typical applications

Sessions

17 – 22

  • Interest rate swaps
  • Currency swaps
  • Forward Rate Agreement (FRAs)
  • Caps Floors and Collars

Sessions

23 – 24

  • Introduction to derivative and hedge accounting

 

 
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