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Course Plan

2015-16

VIT

MBA II Yr
5th Trimester

UNIVERSITY
(Estd. u/s 3 of UGC Act 1956)

Faculty Details
Name of the Faculty

: M.MANOHARAN

Designation

:ASST. PROFESSOR (SG)

Department

: VIT Business School

Course Details
Name of the Class

: MBA II Yr. (T5)

Batch/Slot

: F1&F2

Branch

: FINANCE

Trimester

: T5

Title of the Subject

: FINANCIAL DERIVATIVES

S. Code

: BMT6005

Type of the Course

: FINANCE ELECTIVE

Brief Objective of the


Subject

: To know and understand financial derivatives, classification and analysis,


Valuation and hedging decisions. Futures and options market structure and
dynamics.

No. of Students

: 23+27

Performance Target
Details

Planned

% of Pass

100

% of First Class

70

Class Average Marks

60 to 80

Qualitative Objectives
(if any)

Students should be able to understand


various derivatives instruments and
its applications.

Actual (to be filled after the course


completion)

Evaluation plan
Quiz tests, Assignments, class participation and discussion, case analysis & presentation, mid-term
and end-term examinations.

Learning Resources for the Subject


Prescribed Text Books:
Code

Title

Author(s)

Publisher

T1.

Options, Futures and other


derivatives (8E)

John .C.Hull and


Sankarshan Basu

Pearson India

T2.

Derivatives An Introduction -2E

Robert A. Strong

Thomson South western

Prescribed Reference Books:


R1.

Derivatives and Risk Management


Basics

Don M. Chance, Robert Brooks

Thomson South western

R2.

Futures, Options, And Swaps -5E

Robert W Kolb, James A


Overdahl

Wiley India

R3.

Commodity Derivatives and Risk


Management

Prabina Rajib

PHI, India

R4.

NISM/NCFM Study materials on


derivatives

NSE /NISM

NSE India /NISM

Others (Web / Journals / Course Packets / Class Notes / etc).


Cases, Research articles and current global derivatives and financial market happenings will be
discussed as and when required.
Students are expected to follow financial markets on daily basis. Discussion on Indian derivatives
markets will be there.
Students are expected to acquire additional certifications of NISM /NSE India (NCFM)

Recommended Reading Strategies / Guidelines for the subject

Journals and text books related to finance and investments

Regular reading of Business dailies e.g Economic Times, Business Line and Business Standard.

www.nseindia.com

www.mcxindia.com

www.Reuters.com

www.Cnbc.com

www.Wsj.com (Wall street Journal daily paper available in Library)

www.Ft.com

www.Economist.com

www.cmegroup.com

www.cboe.com

www.lme.com

Websites of various global derivatives exchanges and regulators.

L T P C
2 1 0 2
Lesson plan

Session
No.

Teaching
Pedagogy

Sub-Topics

Learning Resource

Introduction and overview of the course

Class room
teaching

Discussion

OTC vs exchange traded forwards, futures and


options market classification and participants.

Class room
teaching

Ch 1 of T1

Class Room
teaching

Ch 2 and 3 of T1

Class room
teaching

Related exchanges (NSE


and MCX)
Ch 15 of T1

Options call put American and European


options- Moneyness (ITM,ATM and OTM)

Class room
teaching

Ch 9 and 10 of T1

Black-Scholes option pricing model-assumptions


limitations-theoretical option pricing calculations
Volatility historical vs implied volatility smilevolatility forecasting

Class room
teaching
Class room
teaching
Class room
teaching
Class room
teaching
Class room
teaching
Class room
teaching
Class room
teaching

3&4

5 to7
8 to 10
11 to 14
15&16
17

Future contract specification convergence


understanding newspaper quotes-regulations.
Forwards vs futures, hedging strategies.
Futures markets in India forex, equity and
commodities markets.
Options on Currency, stocks and Indices.

Option Greeks

18 to 20

Option strategies pay off- calculations on real


data.

21 & 22

Swaps types usage-calculations

23 & 24

Commodity Derivatives and risk management

25

Credit derivatives CDS. Case study AIG

Ch 14 of T1
Ch 19 of T1 and extra
material will be given.
Ch 18 of T1
Ch 11 of T1
Ch 7 of T1
R3 (selected chapters)
Ch 24 of T1

26 & 27

Case discussion Role of derivatives in Global


Financial Crisis 2007-09

Class room
teaching

Ch 8 of T1

28 to 30

Derivative losses and lessons learnt. Cases

Class room
teaching

Ch 35 of T1

1. Assignments will be mostly on MS Excel (Portfolio hedging techniques) (10 marks)


2.Group (max 3 students) is expected to devise and present corporate hedging strategy of any India based listed
company ,which is having risk exposure in exchange rate/Commodity/interest rate or combination of any. (10 marks)
3. One case or topic presentation per group will be assigned. (5 marks)
4. TEE will have 40-60% exposure to quantitative part.

Signature of the Faculty

Signature of the Program Manager

Percentage distribution of Marks for Evaluation

Class
Participation
5%

Assignment /
Research
report
writing
10%

Quiz

Group
Presentation

Mid Term
Examination

Term End
Examination

Total

15%

20%

40%

100%

10%

Mid-Term Question Paper Pattern


Max. Time. 1 Hr.30 min

Max Marks. 50
Section-A (Q.no 1 to 5)

Answer all questions (3 marks X 5= 15 marks)


There will be FIVE questions.
Section- B (Q.no 6 to 8)
Answer any TWO questions (10 marks X 2 = 20 Marks)
2 questions out of 3
Section-C (Q.no 9)
(Compulsory)
Case Study (Compulsory) (15 Marks)

-------------------------------------------------------------------------------------------------------Term End Question Paper Pattern


Max. Time. 3Hrs

Max Marks 100


Section-A (Q.no 1 to 10)

Answer all the questions (3 marks X 10 = 30 Marks)


There will be ten questions short answer type.
Section- B (Q.no 11to 17)
Answer any FIVE questions (10 marks X 5 = 50 Marks)
5 questions out of 7.
Section-C (Q.no 18)
(Compulsory)
Case Study (Compulsory) (20 marks)