BA9261 DERIVATIVES MANAGEMENT Syllabus for 3rd Sem MBA -Finance Elective-Third semester - Regulation 2009 - Anna University
BA9261 DERIVATIVES MANAGEMENT LT P C
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UNIT I INTRODUCTION 10
Derivatives – Definition – Types – Forward Contracts – Futures Contracts – Options – Swaps – Differences between Cash and Future Markets – Types of Traders – OTC and Exchange Traded Securities – Types of Settlement – Uses and Advantages of Derivatives – Risks in Derivatives.
UNIT II FUTURES CONTRACT 10
Specifications of Futures Contract - Margin Requirements – Marking to Market – Hedging using Futures – Types of Futures Contracts – Securities, Stock Index Futures, Currencies and Commodities – Delivery Options – Relationship between Future Prices, Forward Prices and Spot Prices.
UNIT III OPTIONS 10
Definition – Exchange Traded Options, OTC Options – Specifications of Options – Call and Put Options – American and European Options – Intrinsic Value and Time Value of Options – Option payoff, options on Securities, Stock Indices, Currencies and Futures – Options pricing models – Differences between future and Option contracts.
UNIT IV SWAPS 7
Definition of SWAP – Interest Rate SWAP – Currency SWAP – Role of Financial Intermediary – Warehousing – Valuation of Interest rate SWAPs and Currency SWAPs Bonds and FRNs – Credit Risk.
UNIT V DERIVATIVES IN INDIA 8
Evolution of Derivatives Market in India – Regulations - Framework – Exchange Trading in Derivatives – Commodity Futures – Contract Terminology and Specifications for Stock Options and Index Options in NSE – Contract Terminology and specifications for stock futures and Index futures in NSE – Contract Terminology and Specifications for Interest Rate Derivatives.
TOTAL: 45 PERIODS TEXT BOOKS
1. John.C.Hull, Options, Futures and other Derivative Securities’, PHI Learning, 7th Edition,
2. Keith Redhead, ‘Financial Derivatives – An Introduction to Futures, Forwards, Options and
SWAPs’,– PHI Learning, 2008.
1. Stulz, Risk Management and Derivaties, Cengage Learning, 1st Edition, 2008.
2. Varma, Derivaties and Risk Management, 1st Edition, 2008.
3. David Dubofsky – ‘Option and Financial Futures – Valuation and Uses, McGraw Hill
4. S.L.Gupta, Financial Derivaties- Theory, Concepts and Practice, Prentice Hall Of India,
5. Website of NSE, BSE.