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  • PGP-II Term IV Course Outline FDRM 2013-14

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    Mayank Lodha
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    The course covers the issues oI pricing, hedging and trading derivatives especially Irom a corporate treasury managers perspective. The learning objectives oI the course are 1) to gain conceptual understanding oI Iinancial derivative products and markets related to diIerent asset classes. 2) to understand their application in risk management. 3) to appreciate the uses oI these products at the same time, be aware oI their abuses.

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    The course covers the issues oI pricing, hedging and trading derivatives especially Irom a corporate treasury managers perspective. The learning objectives oI the course are 1) to gain conceptual understanding oI Iinancial derivative products and markets related to diIerent asset classes. 2) to understand their application in risk management. 3) to appreciate the uses oI these products at the same time, be aware oI their abuses.

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    28 просмотров2 страницы

    PGP-II Term IV Course Outline FDRM 2013-14

    Загружено:

    Mayank Lodha
    The course covers the issues oI pricing, hedging and trading derivatives especially Irom a corporate treasury managers perspective. The learning objectives oI the course are 1) to gain conceptual understanding oI Iinancial derivative products and markets related to diIerent asset classes. 2) to understand their application in risk management. 3) to appreciate the uses oI these products at the same time, be aware oI their abuses.

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    Attribution Non-Commercial (BY-NC)
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    из 2

    INDIAN INSTITUTE OF MANAGEMENT, LUCKNOW

    FINANCIAL DERIVATIVES AND RISK MANAGEMENT


    PGP II- FIFTH TERM (2011), CREDIT: 1

    Instructor Dr. A Vinay Kumar
    Phone 6645(O), 6536
    Email vinayiiml.ac.in

    Course Introduction:
    Managing Iinancial risk is a critical objective oI the Iirms. Reducing risk coming Irom interest
    rates, exchange rates and equity market risk can be achieved using derivative products like
    Iutures, options and swaps. The course covers the issues oI pricing, hedging and trading
    derivatives especially Irom a corporate treasury managers perspective. The Iollowing are the
    learning objectives.
    The learning objectives oI the course are
    1) To gain conceptual understanding oI Iinancial derivative products and markets related to
    diIIerent asset classes.
    2) To understand their application in risk management.
    3) To appreciate the uses oI these products at the same time, be aware oI their abuses.
    Course Preparation and Prerequisites:
    The course is taught using a mix oI lectures, comprehensive exercises and cases. Students should
    come prepared to class by reading the intended material. The course has an assignment project
    where in the students will get a chance to apply the concept to real world instances. Students will
    be asked to present project seminars towards the end oI the course.
    Text and Online Simulation:
    Options and Futures and Other Derivatives By John C Hull (7
    th
    Edition) Pearson
    Education, India. (JC)
    Group Online Simulation
    Other Reference Books:
    Introduction to Derivatives and Risk Management by Don Chance ( Six edition),
    Thomson Publications
    Evaluation Scheme
    Evaluation Component Weight Evaluation Component Weight
    Case Report Submission 5 Class Participation 5
    Quiz 25 Mid Term examination 25
    Projects 15 End Term Exam 25





    SESSIONS PLAN
    Session Topic Readings
    1 Overview to Iinancial derivatives and risk
    management, Indian Derivative Markets Activity
    and Importance
    Read:
    Lecture Presentation
    2-3 Pricing Forwards and Futures
    Hedging Strategies Using Futures:
    Stock Index Future
    Read: Chapter 5 (JC)
    Read: Chapter 3 (JC)
    4-5 Introduction to Options, Properties oI Options
    Put Call Parity
    Read
    Chapter 9 (JC)
    Case: Dell Computers:
    Share Repurchase Program
    6-8 Valuation oI Options
    Binomial Option Pricing
    Black Scholes Option Pricing

    Read:
    Chapter11, Chapter 13 (JC)
    Case: Tata Steel Ltd. CARS
    A

    9-10 Estimation oI Volatility, Option Greeks Read: Chapter 21, Chapter
    18(JC) Chapter 17 (JC)
    Case: Tata Steel Ltd CARS
    B

    MID TERM EXAMINATION
    11-12 Trading Strategies Using Options
    13-14 Bond Markets and Currency Markets, Interest Rates
    Estimation, Forward rates Estimation, Interest Rate
    and Currency Futures
    Read:
    1) Chapter 4(JC)

    15 Bond Options Lecture Presentation
    16-17

    FRA, Swaps Read: Chapter 7, 32 (JC)
    Lecture Presentation
    18-19 Comprehensive Cases Case: BEA Associates
    Case : Bank One
    Corporation
    20 Guest Lecture To be identiIied

    END TERM EXAMINATION

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