FINANCIAL DERIVATIVES AND RISK MANAGEMENT

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Introduction

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Economic benefits of derivatives

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Types of financial derivatives

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Features of derivatives market

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Factors contributing to the growth of derivatives

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Functions of derivative markets

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Exchange traded versus OTC derivatives

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Traders in derivatives markets

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Derivatives market in India

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Differences between futures and forwards

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Valuation of futures

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Valuation of long forward contract

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Valuation of short forward contract

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Mechanics of buying futures

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Mechanics of selling futures

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Margins in futures

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Hedging using futures

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Specification of futures

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Commodity futures

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Index futures

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Interest rate futures

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Arbitrage opportunities in futures

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Features of swaps

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Uses of swaps

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Mechanics of interest rate swaps

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Valuation of interest rate swaps

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Currency swaps

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Valuation of currency swaps

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Types of options

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Option pricing

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Factors affecting option pricing

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Call options on dividend paying stocks

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Put options on dividend paying stocks

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Call options on non-dividend paying stocks

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Put options on non-dividend paying stocks

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Put-call parity

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Mechanics of options

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Stock options

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Options on stock index

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Options on futures

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Interest rate options

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Concept of exotic options

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Hedging strategies using options

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Trading strategies using options

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Valuation of options basic model

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One step binomial model

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Black and Scholes model

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Option Greeks

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Arbitrage profits in options

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Commodity futures market in India

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Forward market commission and regulation

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Settlement in commodity derivatives

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Physical delivery of commodities

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Types of interest rates

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Zero rates

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Bond pricing

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Determining zero rates

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Forward rates

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Forward rate agreements (FRA)

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Treasury bond futures

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Treasury note futures

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Interest rate derivatives

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Bond prices and probability of default

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Historical default experience

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Reducing exposure to credit risk

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Credit default swaps

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Total return swaps

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Credit spread options

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Collateralized debt obligations (CDO)

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Value at Risk (VaR) measure

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Historical simulation method

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Model building approach

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Linear approach

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Quadratic model

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Monte Carlo simulation

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Stress testing

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Back testing