09MB305B – Security Analysis and Portfoliio Management
The objective of this course is to provide the conceptual and analytical
framework of Security Analysis and Portfoliio Management and make them
proficient in understanding the dynamics of securities market. This paper is
focuses of the application of theory to practice.
Unit 1: Investments
The investment environment, classification and functions of financial markets
and financial instruments, securities markets, how securities are traded.
Unit 2: Portfolio Theory and Capital Market Theory
The returns and risks from investing, Markiwitz portfolio theory, mean-
variance approach, portfolio section, efficient portfolios, the single-index
model, asset pricing models, the capital asset pricing model, arbitrage pricing
theory.
Unit 3: Fixed Income Securities (Bond)
Analysis, valuation and management: Interest rates, measuring bond yields,
bond pricing theorems, convexity, duration, passive bond management and
active bond management strategies, bond immunization.
Unit 4:
A. Equity Analysis and Management: Discounted cash-flow techniques,
balance sheet analysis, dividend discount models, intrinsic value and market
price, The P/E ratio or earnings multiple approach, price/book value,
price/sales ratio, economic value added (EVA), the passive and active strategy
B. Security Analysis: Macro economic analysis, industry and company
analysis, technical analysis.
Unit 5:
A. Derivatives: overview of derivative markets, option markets, option
strategies and option valuation, futures market, strategies and pricing, stock
index futures, interest rate futures, swap contracts.
B. Portfolio Management: Mutual funds, growth of mutual funds in India,
structure, performance evaluation ofmutual funds, performance measurement
with changing porfolio composition.
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References
1. Prasanna Chandra, Investment Analysis and Portfolio Management, TMH, 2009
2. Charles P Jones, Investments – Analysis and Management, John Wiley, 2009
3. William F Sharpe, Gordon J Alexander, Jeffery V Bailey, Fundamentals of Investments,
PH, 2009
4. ZVI Bodie, Alex Kane, Alan J Marcus and Pitabas Mohanty, Investments, TMH, 2009
5. Frank K Reilly and Keith C Brown, Investment Analysis Portfolio Management,
Cengage, 2009
6. Bhat, Security Analysis and Portfoliio Management, Excel, 2009
7. Donald E Fischer and Ronald J Jordan, Security Analysis and Portfoliio Management,
6/e, Pearson Education, 2007
8. S Kevin, Security Analysis and Portfoliio Management, PH, 2006.
9. Arnold, Kumar, Corporate Financial Management, Pearson, 2009
10. V A Avadhani, Security Analysis and Portfoliio Management, Himalaya, 2008
11. Edwin J Elton, Martin J Gruber, Modern Portfolio Theory and Investment Analysis, 5/e,
Jphn Wiley & Sons, 2007
12. John C Hull, Options, Futures and their Derivatives, 7th Edition, Pearson, 2009
13. Robert A Strong, Derivatives – An Introduction, Cengage, 2009
CNBC TV18 CDs:
Systematic Investment Planning, 2008
Wizards of Dalal Street, 2008
Simplifying Technical Analysis, 2005
Derivatives, Trader Psychology, 2005
Global Investment Gurus, Focus on India, 2006
09MB307B – Derivatives
The objective of this course is to make students efficient in the area of
Derivatives, giving them the knowledge of basics in Derivatives, Futures
Markets, Option Strategies, etc.
Unit 1: Introduction to Derivatives
Development and growth of derivatives markets, types of derivatives, use of
derivatives, fundamental linkages between spot and derivative markets, the
role of derivative markets, uses and misuses of derivatives.
Unit 2: Future and Forward Market
Structure of forward and future markets, mechanics of future markets,
hedging strategies, using futures, determination of forward and future prices,
interest rate futures, currency futures and forwards.
Unit 3: Options
Distinguish between options and futures, structure of options market,
principles of option pricing, option pricing models: the binomial model, Black-
Scholes Merton model.
Unit 4: Basic Option Strategies
Advanced option strategies, trading with options, hedging with options,
currency options.
Unit 5: Swaps
Concept, nature and evolution of swap market, features of swaps, major types
of swaps, interest rate swaps, currency swaps, commodity swaps, equity index
swaps, credit risk in swaps, credit swaps, using swaps to manage risk, pricing
and valuing swaps
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References:
1. Jayanth Rama Varma, Derivatives and Risk Management, TMH, 2008
2. John C Hull, Options, Futures and their Derivatives, 7th Edition, Pearson, 2009
3. Mishra, Financial Derivatives, Excel, 2009
4. S. L. Gupta, Financial Derivatives: Theory, Concepts and Problems, PH, 2009
5. S. S. Kumar, Financial Derivatives, PHI, 2009
6. David A Dubofsky, Thomas W Muller, TR, Derivatives Valuation and Risk Management,
Oxford, 2008
7. Don M Chance, Robert Brooks, Derivatives and Risk Management Basics, Cengage,
2008
8. A. N. Sridhar, Futures and Options, Equities & Commodities, Shroff Publishers and
Distributors, 2008.
