MAM 662/3 Commodity Futures, Options and Derivatives 2(2-0-2)

Obe!tive" The course aims at providing a deep insight into the functioning
of commodity exchanges. It also exposes students to various trading
strategies used for options and futures. The concept pricing, risk
management and regulatory framework have been added to it.
#$% &o% 'opi! (e!%
) *ntrodu!tion to Derivatives Derivatives defined, Products, participants and
functions, Types of derivatives, Development of exchange traded derivatives,
lobal derivatives market, !arket Index "nderstanding index numbers.
#orward contracts, $imitations of forward markets, Introduction to futures %
options, &ption % #utures Terminologies
2 Me!+ani!s o, Futures - Options Mode$ 'pecification, (onvergence,
Delivery, Types of Traders and Trade, regulations, Position, underlying )sset,
!argins, (ommissions, (learing entities, clearing mechanism, 'ettlement
mechanism, *isk management
3 .uantitative 'oo$s - 'e!+ni/ues Time series analysis, Index numbers and
analysis, !athematical finance, (o relation, regression and multivariate
analysis, 'imulation, 'imulation 'oftware and 'oftware for analysis.+,ote-
'tudents should be taught as how perform these exercises efficiently with the help
of (omputres..
0 Determination o, For1ard and Futures Prices, Iterest *ate #utures, 'waps,
trading 'tretegies involving #utures and &ptions etc., /inomial Trees etc.
2 3ri!in4 ,utures The cost of carry model, Pricing e0uity index futures, Pricing
stock futures, Introduction to the /lack 'choles formulae, the /lack 'choles
option pricing formulae, pricing index and stock options, /lack 'choles
!erton !odel, 1iener processes and Ito2s $emma, Introduction to reek $etters
5 6sin4 *nde7 Options 3edging, speculation and arbitrage, The trader
workstation, #utures and options, market instruments.
8 9o$ati$ity #mi$es, 9a$ue at :is;, <stimatin4 9o$ati$ities - Co = re$ations,
Credit Derivatives Martin4a$es - Measures, !onve7ity 'imin4 and .uanto
Adustment
> :e4u$atory ,rame1or; and ta7ation issues - ) discussion
)0 Fie$d visit to farmers2 traders2 to assess the awareness about commodity
exchanges, their participation, their views on risk management and the benefits
accruing to them by being associated with commodity exchanges. The students
will have to submit a report based on that.
)) A4ri!u$tura$ pri!es = 'chaum2s outline of microeconomic theory4 price
determination 5introduction and demand, supply and price determination6 price
differences and variability 5marketing margins, price differences associated with
0uality, spatial price relationships, price variation through time, general farm 7
non farm price relationships6
Pricing institutions 5mechanaims for discovering farm prices, price relationships
on commodity futures markets, functions of commodity futures markets
,functions of commodity futures market6 forecasting
)2 App$ied e!onomi! de!ision ana$ysis in a4ribusiness and !ommodity ,utures
combinations of economic principles such as profit maximi8ation , diminishing
marginal returns , marginal cost , marginal revenue , break even analysis and
economies of scale to help create decision making scenarios to the management
of agricultural industries computer basics, excel basic commands, making a
worksheet, special features charts and worksheet manipulation data
manipulation ,guidelines for worksheet design midterm economic decision
analysis 5 work sheet assignments6 intro to economics , supply and demand,
elasticity, consumer choice, production cost , perfect competition, market
efficiency and monopolistic competition, investment decisions, scarcity,
international trade, optimi8ation models , 4 !icrosoft excel for microeconomics.
+'ame excise is re0uired to be practiced for !/) +#inance. students but in a
different way.
)3 #undamental )nalysis, Technical )nalysis, (ase 'tudy, 'imulation
(hana,1heat,*ice and "rad etc.
<7amination #ystem"
9. (ase presentations, seminars, assignments, class participation, punctuality etc. :;<
=. !id Term >xamination =;<
?. 'emester #inal >xamination :;<
'e7t ?oo;s"
9. @ohn (. 3ull, &ptions, #utures and &ther Derivatives
=. 'tudy !aterial developed by !(A
Fina$ Au4ust 20)0