K.J.

SOMAIYA INSTITUTE OF MANAGEMENT STUDIES AND RESEARCH Programme Trimester/Sem ester Faculty Course
MMS Semester III

Aparna Bhat Derivatives and Risk Management

1) Course Objectives : The course is meant to impart a sound knowledge of financial derivatives and the use thereof for the purposes of trading and risk management. 2) Course content / Coverage (brief) : The course covers the different types of financial derivatives and applications of derivatives in terms of trading strategies and financial risk management. 3) General Description of Pedagogy : Lectures, class discussions, assignments on analysis of different trading strategies and financial markets data and presentations by students on assigned topics. 4) Student learning outcomes from the course: Students are expected to acquire a sound knowledge about the various types of financial derivatives and a working knowledge of derivatives strategies and their applications for risk management. They are also expected to be able to understand and interpret correctly financial market news regarding derivatives trading, trends in derivatives markets etc. 5) Session Details : All pre-reading to be done from the prescribed text book unless mentioned otherwise Session No.
1

Topics to be covered
Introduction to forwards and futures

Pre-reading to be done
Ch.1 and 2

2 ,3 and 4

Forwards and futures, pricing, valuation and risk management

Ch.2, 3 and 5

5 and 6

Interest Rate Futures

Ch.4 and 6

K.J. SOMAIYA INSTITUTE OF MANAGEMENT STUDIES AND RESEARCH

7 8 and 9 Forward Rate Agreements (FRAs) Swaps

Ch.4
Ch. 7

10 and 11

Mechanics and Properties of Options

Ch.8 and 9

12 and 13

Basic Options Strategies

Ch. 10

14 and 15 16 and 17 18

Binomial Pricing Model Black- Scholes-Merton Option pricing Model Volatility smiles and Exotic Options

Ch.11 Ch.13
Ch. 18

19

Value-At-Risk

Ch. 20

6) Required text & Course Materials : Options, futures and other derivatives by John C. Hull and Sankarshan Basu (latest Indian edition). Supplementary reading: Derivatives and Risk Management by Rajiv Srivastava. 7) Optional Course Materials & Readings: Daily financial newspapers, websites of major stock exchanges 8) Assessment Criteria: Component Attendance and class participation Quizzes Assignments Weighta ge 10% 5% 5% Description Marks will be awarded only if minimum attendance criteria are met Class room quiz Analysis of company or market data and presentations on the

K.J. SOMAIYA INSTITUTE OF MANAGEMENT STUDIES AND RESEARCH same Exams (Mid-term + End-Term) 80% Written exams (60% end-term and 20% mid-term)