Scribd
Upload
279 views3 pages

Derivatives and Risk Management - Bhaskar Sinha

This document provides the teaching plan for the subject "Derivatives and Risk Management" being taught in semester 3. It includes details of the faculty, Bhaskar Sinha, the assessment structure consisting of an internal assessment of 60 marks and a written exam of 40 marks totaling 100 marks. Reference materials including books by John C. Hull and Rajiv Srivastava are listed. The 15 session plan covers topics such as forwards, futures, options, exotic options and VaR. Internal assessments will include MCQs and problem solving exams. Students are advised to bring calculators to classes.

Uploaded by

Bhaskkar Sinha
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as DOCX, PDF, TXT or read online on Scribd
279 views3 pages

Derivatives and Risk Management - Bhaskar Sinha

This document provides the teaching plan for the subject "Derivatives and Risk Management" being taught in semester 3. It includes details of the faculty, Bhaskar Sinha, the assessment structure consisting of an internal assessment of 60 marks and a written exam of 40 marks totaling 100 marks. Reference materials including books by John C. Hull and Rajiv Srivastava are listed. The 15 session plan covers topics such as forwards, futures, options, exotic options and VaR. Internal assessments will include MCQs and problem solving exams. Students are advised to bring calculators to classes.

Uploaded by

Bhaskkar Sinha
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as DOCX, PDF, TXT or read online on Scribd
You are on page 1/ 3

Rizvi Institute of Management Studies & Research

Teaching Plan – Semester III


Tuesday, 4th July 2017 – Sunday, 5th November 2017

Faculty Details
Name of the Subject Derivatives and Risk Management
Name of Faculty Bhaskar Sinha
Mobile 7045641699
Email [email protected]

Assessment Details
Type of Paper Core

Duration 3 Hours

Marks
40
Internal Assessment
Marks
60
Written Assessment

Total Marks 100

Reference Material
Sr. No. Name of the Book Author
Options, Futures and Other Derivatives, 7th Ed,
1 John C. Hull
Prentice Hall
Derivatives and Risk Management, Oxford
2 Rajiv Srivastava
University Press
3

Classroom Requisites for Students


Sr. No. Requisites

1 Calculators (Must)

2 Basic Excel

1
Session Plan
Session
Session Coverage Session Requisite
No.

Introduction to Risk management,Derivatives, Types


1 1
& Classification, uses & misuses

Forwards & futures – definitions, differences, pricing,


2 relationship between future and spot prices, types of 2
futures. Etc

Hedging – perfect & imperfect hedging , basis risk ,


3 2
optimal hedge ratio

Stocks & index futures,FRA,Interest rate


4 3
futures,treasury bond futures

Swaps- IRS,Currency swaps,rationale for


5 2
swaps,comparative advantage

Options – basics, terminology,moneyness of


6 1
options,types,difference between F&O

First Internal Assessment


7 1

Option pricing- put call parity, binomial option


8 3
pricing, black& Scholes option pricing models

Option sensitivities , option Greeks, delta


9 1
hedging,Theta,Gamma, other greeks

10 Option strategies 2

11 Second Internal Assessment 1

12 Exotic option ; primer 1

13 VaR 2

14 Revision session 2

15 Problem Solving 2

2
Internal Assessment

Sr. Type of Internal Group /


Task Marks Timeline
No. Assessment Individual

1 MCQs 20 Individual 2 Hrs

2 Problem solving 20 Individual 3 hrs

NOTE: study notes/slides will be provided on selected topics. Problem solving and cases are an
integral part of our pedagogy, henceforth, students are advised to bring their calculators for their
classes.
 No internal retakes/or change of test dates would be entertained without the prior
permission of the course coordinator. Each internal will be of 20 marks each.

You might also like