S.K.

Choudhary Educational Trusts Shankara International School of Management Subject: Financial Derivatives PGDM- IV SEM Syllabus Objective:- Demonstrate a knowledge of the regulatory framework for financial derivatives.
Demonstrate a detailed knowledge of the different types of forwards, futures, swaps, options and other financial derivatives, the principal differences between them, and where and how they are traded. Demonstrate a detailed understanding of the variables (inputs) which influence the value of such derivatives, and the relationship of financial derivatives to their underlying assets.

Definition of Derivative Securities- Brief history of derivatives, Sessio Structure of derivative markets, forwards, futures, options, swaps etc. options n

Reference
John C.Hull Guruswamy & Sachin Jain

Unit-I

on futures, swaptions, Underlying assets: equities, currencies, commodities and interest rates. Reasons for trading: risk management, speculation and arbitrage.

. Market Characteristics- Futures and Options contract specifications,

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John C.Hull Guruswamy & Sachin Jain

UnitII

underlying asset, contract size, and delivery specifications. Marking to market using margin accounts. Familiarizing with market quotes. Trading Strategies involving Options and Futures. Interest rate derivatives, Contractual specification: floating and fixed rate..

Derivatives Pricing Theory- Option Pricing: Black-Scholes formula for

UnitIII

option pricing: derivation and properties. Volatility: estimated vs. implied, warrants and convertibles. Binomial models for option prices: definitions and terminology. Futures Pricing: Pricing by arbitrage: relationship between futures and spot price difference between futures and forward price,

John C.Hull Guruswamy & Sachin Jain

Risk Analysis and Management- Risk Measurement and Management

UnitIV UnitV
UnitVI

Framework, Option's delta, gamma, Vega, theta, rho. Hedging with futures. Derivatives Disclosure: Accounting Issues in Derivatives.

John C.Hull Guruswamy & Sachin Jain

Options and Futures Applications in India- Structure of Indian stock

markets and the operational efficiency of options and futures. Clearance and Settlement system.

Case Studies, Assignment